Background: This study assessed the association between adolescent ecstasy use and depressive symptoms in adolescence. Methods: The Belfast Youth Development Study surveyed a cohort annually from age 11 to 16 years. Gender, Strengths and Difficulties Questionnaire emotional subscale, living arrangements, parental affluence, parent and peer attachment, tobacco, alcohol, cannabis and ecstasy use were investigated as predictors of Short Mood and Feelings Questionnaire (SMFQ) outcome. Results: Of 5371 respondents, 301 (5.6%) had an SMFQ > 15, and 1620 (30.2) had missing data for SMFQ. Around 8% of the cohort had used ecstasy by the end of follow-up. Of the non-drug users, ∼2% showed symptoms of depression, compared with 6% of those who had used alcohol, 6% of cannabis users, 6% of ecstasy users and 7% of frequent ecstasy users. Without adjustment, ecstasy users showed around a 4-fold increased odds of depressive symptoms compared with non-drug users [odds ratio (OR) = 0.26; 95% confidence interval (CI) = 0.10, 0.68]. Further adjustment for living arrangements, peer and parental attachment attenuated the association to under a 3-fold increase (OR = 0.37; 95% CI = 0.15, 0.94). There were no differences by frequency of use. Conclusions: Ecstasy use during adolescence may be associated with poorer mental health; however, this association can be explained by the confounding social influence of family dynamics. These findings could be used to aid effective evidence-based drug policies, which concentrate criminal justice and public health resources on reducing harm.