Objectives: Ethnic discrimination increases risk for depressive symptoms, but less is known about factors that influence the impact of this cultural challenge on psychological adjustment for immigrant-origin college students. Sociocultural identity development is especially relevant during emerging adulthood. Studies examining exacerbating or buffering impacts of ethnic identity have yielded mixed results. The current study examines conditions under which one aspect of ethnic identity, affirmation/belonging, moderates the impact of perceived ethnic discrimination stress on depressive symptoms. This was expected to vary by other-group orientation and gender, in accordance with rejection sensitivity theory. Method: A multicultural sample of 290 non-White immigrant-origin emerging adults (aged 18–25) from mixed cultural backgrounds and generational statuses attending a college in the Southeastern United States completed electronic self-report questionnaires. Results: More robust support was provided for social identity theory rather than rejection sensitivity theory: stronger affirmation/belonging was inversely associated with depressive symptoms across the sample, with a notable buffering impact for women. Trend-level results indicated a protective effect for those endorsing stronger affirmation/belonging paired with greater other-group orientation. Additionally, women with weaker affirmation/belonging demonstrated greater increased depressive symptoms compared to men with weaker affirmation/belonging. Conclusions: For this sample, social identity theory was relevant to the impact of affirmation/belonging on the relation between ethnic discrimination and depressive symptoms contingent on other-group orientation and gender. This finding underscores the importance of examining ethnic identity in a nuanced manner. Implications for these results extend to college counseling centers, where inclusion of sociocultural identity in case conceptualization would be useful.