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ObjectiveThis study examined the mediating effects of self‐conscious emotions (i.e., shame and guilt) on the relationships between familial influences and depressive symptoms among sexual minority adolescents (SMAs).BackgroundFamilial influences, such as family rejection or parental affirmation, are associated with depression. However, little research has been conducted to identify specific mechanisms that can explain the associations between familial influences and depressive symptoms among SMAs.MethodParticipants were 94 adolescents, aged 12 to 18 years, who were recruited through the community and completed self‐report measures.ResultsFamily rejection was associated with more feelings of shame and guilt, whereas parent affirmation was associated with less shame and guilt. Shame and guilt were associated with more depressive symptoms. Indirect effects of family rejection on depression were significant through shame but not guilt. Indirect effects of parental affirmation on depression were significant through shame and guilt.ConclusionThe results help identify mechanisms through which familial influences may be associated with depressive symptoms. Shame and guilt are important modifiable psychological factors that can be targets of intervention for SMAs.ImplicationsFuture research and interventions must incorporate familial influences as well as self‐conscious emotions to improve the mental health of SMAs.