This study examined the extent to which parental SES and ethnic affiliation during adolescence are associated with Center for Epidemiologic Studies Depression Scale (CES-D) scores compatible with depression during adulthood. The data were extracted from the US National Longitudinal Survey of Youth (NLSY79) conducted in 1979 on several ethnic groups (African-Americans, Hispanics and Others). These data included paternal socio-economic status (SES) when respondents (N = 8,331) were on average aged 18. The CES-D was re-administered 27 years later to assess the presence of depression. Adjusted for age, binary logistic regression modeling showed that parental low SES increased the risk of CES-D of scores compatible with depression across ethnic groups for both genders. A gradient was observed of an increased likelihood of depression scores with lower parental SES levels: among African-American respondents, depression scores were highest at the lowest parental SES levels (OR = 3.25, 95% CI 2.19–4.84) and the risk dropped at medium (OR = 3.00, 95% CI 1.96–4.59), and highest SES levels (OR = 1.85, 95% CI 1.12–3.07). An analogous pattern was generally found for each ethnic group. Low parental SES during adolescence significantly increases the likelihood of CES-D scores compatible with depression during adulthood across US ethnic groups and in both genders.