Ethnic-racial socialization has been positively linked with psychological adjustment; however, the mechanisms underlying this association remain unclear. In this study, the authors examined the mediating role of racial identity in the association between racial socialization and depressive symptoms. Participants were 211 African American young adults (62% female; mean age = 20.73, SD = 1.90) recruited from a predominately White southeastern university. Multivariate mediation analyses revealed an indirect effect of racial pride messages on depressive symptoms through private regard such that individuals who reported receiving more frequent racial pride messages were more likely to feel positively about their race, and, in turn, less likely to report depressive symptoms. Individuals who reported that their parents engaged in more socialization activities (e.g., attending cultural events) were also more likely to feel positively about their race and, in turn, report fewer depressive symptoms. These results suggest that positive feelings about one’s race are important considerations in our understanding of the relation between ethnic-racial socialization and youth psychological adjustment.