We examined how family and friendship connections of adolescents (15–19 years old) interrelate and how these interactions affect their self-perceived depression and stress. The data were collected through the Abu Dhabi Quality of Life Survey in 2018, which was completed by more than 51,000 respondents. Nine hundred and fifty-eight out of 3356 adolescents in the survey self-identified themselves as depressed. We developed a structural equation path model to explicate the relationships among the variables hypothesized to affect adolescents’ self-reported depression. The results produced an excellent fit of statistics of the model to the data. In general, social connections and relationships with family and friends directly affected adolescents’ self-perceived depressive feelings. More specifically, variables such as “often feeling isolated from people,” “the amount of quality time spent with family,” “the frequency of meeting with friends, relatives or colleagues,” and “involvement in informal activities with friends” had the greatest total effects on adolescents’ self-perceived depression. “The amount of quality time spent with family” also exerted indirect influence on feelings of isolation. Involvement in sports groups, involvement in religious and spiritual groups, and generalized trust did not exhibit any direct influence but had an indirect impact on self-perceived depression. The findings could contribute to the current understanding of theories of depression and yield implications for social policy, social service, and social work interventions for school-aged adolescents in Abu Dhabi.