The aim of this study was to determine the mediating role of relative deprivation in the relationship between social exclusion and depression in adolescents. A total of 437 (269 female, 168 male) adolescents (78 9th, 106 10th, 192 11th, and 61 12th-grade students) from four different high schools in Turkey participated in the study. Latent variable mediated structural model and bootstrap analysis were used to analyse the research data collected with Kutcher Adolescent Depression Scale Short Form, Social Exclusion Experience Scale for Adolescents, and Relative Deprivation Scale for Adolescents. In the study, it was found that there is a moderate, positive, and significant relationship between social exclusion and depression ([beta] = 0.50, p < 0.001), social exclusion and relative deprivation ([beta] = 0.64, p < 0.001), and relative deprivation and depression ([beta] = 0.54, p < 0.001) in adolescent individuals. It was also found that relative deprivation mediated the relationship between social exclusion and depression (ß = 0.23, 95% CI [0.11, 0.32]). To prevent the social exclusion and relative deprivation experienced by adolescents, school counselors can help students improve their communication and problem-solving skills. In this way, it can also contribute to the prevention of adolescent depression.