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Background: The prevalence of depression especially among youths is increasingly high. The present study is aimed to identify some demographic and psychological factors such as self-efficacy and perceived stress that may be related to depression among male adolescents. Methods: Overall, 402 adolescent were selected for participation in the study using multistage sampling method. The participants completed a questionnaire including demographic, depression, self-efficacy, and perceived stress data. A multiple regression analysis and the Pearson correlation test were used for data analysis. SPSS version 17 software was used for performing analyses. Results: The mean age of the adolescents was 15.44 (SD = 0.68) years. The total mean score of depression was 16.02 ± 9.14 and 153 (38.1%) of participants showed depressive symptoms. Results showed that high levels of depression were associated with low level of self-efficacy and high level of perceived stress; also some demographic variables such as fathers′ job and academic situation can be related to depression among male adolescents. Conclusions: Self-efficacy and perceived stress can be related to depression but the role of stress and self-efficacy in the etiology and forming of depression in adolescent are discussed. Therefore, more studies for approval of these associations should be considered.