Many studies have associated adolescent violence exposure with later mental health outcomes, but because violence cannot be randomly assigned, few have established causality. Additionally, few have directly tested whether violence affects boys’ and girls’ psychological health differently. The author hypothesizes that (1) violence has a negative causal effect on depression and (2) the effects of violence on depression are worse for women than for men. Using National Longitudinal Study of Adolescent Health data, the author builds multilevel propensity score models with wave 1 predictors in a cross-lagged two-level hierarchical linear model estimating the effects of wave 2 violence on wave 3 outcomes. The results (1) confirm that women have higher depression scores than men net of other factors, (2) show that violence exposure raises average depression scores for both sexes, and (3) uncover no significant sex differences in effect size of violence on depression.