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Purpose: Research has documented that holding certain etiological beliefs about depression can determine the level of stigma experienced by individuals with depression. To date, no studies have yet examined this relationship among adolescents. Using a sample of Arab adolescents, the purpose of this study was to describe adolescents' beliefs about the etiology of depression, and examine whether these beliefs influence the type and severity of depression stigma. Methods: A nationwide school survey was conducted in a representative sample of Jordanian public and private schools located in Jordan, a Middle‐Eastern Arab country. A total of 2,349 adolescents aged 12–17 (59% female) completed and returned an anonymous survey that included measures on adolescents' sociodemographic and health characteristics, depression symptoms, depression stigma, and depression etiological beliefs. An exploratory factor analysis with principal components analysis (PCA) was used to examine the factor structure of the Depression Etiological Beliefs Scale. The stability of the PCA findings was tested using a cross‐validation method. Regression analyses were performed to examine whether depression etiological beliefs, depression severity, or their interaction are associated with depression stigma. Results: Adolescents endorsed multiple etiological beliefs about depression. The beliefs in which likely or very likely was most often reported were stressful events in one's life (72%), social factors (65%), and one's weak will (56%). On the other hand, the least reported beliefs were genetic or inherited problems (24%), chemical imbalance (30%), and punishment for wrong doings (35%). The interaction between adolescents' depression severity and depression beliefs significantly predicted personal stigma. Adolescent sex, age, and region of residence significantly affected the relationship between depression beliefs and stigma. Conclusions: Nurses need to consider the beliefs and attitudes their patients have around depression, as these can influence symptom severity, comprehensive treatment plans, and adherence to provider recommendations. This study provides a better understanding of how depression beliefs affect Jordanian adolescents' attitudes toward depression, which can guide intervention programs to increase awareness about depression and promote treatment utilization. [ABSTRACT FROM AUTHOR]