A recent study by the Heritage Foundation (Rector, Johnson, & Noyes, 2003) found evidence of a positive relationship between early sexual intercourse and depressive symptoms. This finding has been used to bolster support for funding abstinence-only sex education. However, promoting abstinence will only yield mental health benefits if there is a causal link between sexual intercourse and depression. Using the National Longitudinal Study of Adolescent Health (Add Health), I carefully examine the relationship between early teen sex and several measures of depression. Controlling for a wide set of individual-level and family-level observable characteristics, cross-section estimates consistently show a significant positive relationship between early sexual activity for females and three measures of adverse mental health: self-reported depression, a belief that one's life is not worth living, and serious thoughts of suicide. However, difference-in-difference estimates reflect no evidence of a significant relationship between early teen sex and depressive symptoms. These findings suggest that the positive association observed by Rector et al. (2003) can be explained by unmeasured heterogeneity. Thus, promoting abstinence among adolescents is unlikely to alleviate depressive symptoms. (c) 2006 by the Association for Public Policy Analysis and Management.