The prevalence of adolescent overweight is significant, almost 25% in some minorities, and often is associated with depressive symptoms. Psychological and psychosocial factors as well as poor coping skills have been correlated with unhealthy eating and obesity. The purpose of this study was to examine relationships among self‐esteem, stress, social support, and coping; and to test a model of their effects on eating behavior and depressive mood in a sample of 102 high school students (87% minority). Results indicate that (a) stress and low self‐esteem were related to avoidant coping and depressive mood, and that (b) low self‐esteem and avoidant coping were related to unhealthy eating behavior. Results suggest that teaching adolescents skills to reduce stress, build self‐esteem, and use more positive approaches to coping may prevent unhealthy eating and subsequent obesity, and lower risk of depressive symptoms. © 2008 Wiley Periodicals, Inc. Res Nurs Health 32:96–109, 2009