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We measured the psychosocial effect of orphanhood in a sub-Saharan African population and evaluated a new framework for understanding the causes and consequences of psychosocial distress among orphans and other vulnerable children.The framework was evaluated using data from 5321 children aged 12 to 17 years who were interviewed in a 2004 national survey in Zimbabwe. We constructed a measure of psychosocial distress using principle components analysis. We used regression analyses to obtain standardized parameter estimates of psychosocial distress and odds ratios of early sexual activity.Orphans had more psychosocial distress than did nonorphans. For both genders, paternal, maternal, and double orphans exhibited more-severe distress than did nonorphaned, nonvulnerable children. Orphanhood remained associated with psychosocial distress after we controlled for differences in more-proximate determinants. Maternal and paternal orphans were significantly more likely than were nonorphaned, nonvulnerable children to have engaged in sexual activity. These differences were reduced after we controlled for psychosocial distress.Orphaned adolescents in Zimbabwe suffer greater psychosocial distress than do nonorphaned, nonvulnerable children, which may lead to increased likelihood of early onset of sexual intercourse and HIV infection. The effect of strategies to provide psychosocial support should be evaluated scientifically.