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Participation in sports has been shown to be protective against depression and suicidal ideation, but little is known about what factors mediate these relationships. No previous studies examined potential mediators between sports participation and suicidal ideation and only one study explored possible mediators between sports participation and depression. Increased sports participation could protect against depression and suicidal ideation by increasing endogenous endorphin levels, boosting self-esteem, improving body image, increasing social support, and affecting substance abuse.Multivariate hierarchical logistic regression analyses of Add Health data to explore whether increased participation in sports (none, 1–2, 3–4, or 5 or more times per week) is associated with depression and suicidal ideation and whether exercise, self-esteem, body weight, social support, and substance abuse mediate these relationships.As sports participation increases, the odds of suffering from depression decreases by 25% (OR: 0.75; 95% CI: 0.70–0.82) and the odds of having suicidal ideation decreases by 12% (OR: 0.88; 95% CI: 0.83–0.93) after controlling for sex, age, race/ethnicity, public assistance, and physical limitations. Substance abuse, body weight, and exercise did not mediate these associations. Consistent with self-esteem and social support acting as mediators of these relationships, the inclusion of these variables in the multivariate models attenuated the associations for depression (OR: 0.83; 95% CI: 0.75–0.91) and suicidal ideation (OR: 0.93; 95% CI: 0.88–0.99).Adolescents should be offered ample opportunity and encouragement to participate in sports, which can protect against depression and suicidal ideation by boosting self-esteem and increasing social support.