Effectively reducing adolescents' risky sexual behaviors has been an urgent need since the HIV/AIDS infections among young people has been acknowledged as a priority. Self-efficacy has been considered playing an essential role in behavioral changes, and depressed individuals may demonstrate lower self-efficacy. The purpose of this cross-sectional study was to gain insights into self-reported depression among 16–18 years-old Taiwanese adolescents as well as to explore psychosocial predictors of AIDS preventive self-efficacy. A convenience sample of 734 adolescents from southern Taiwan was recruited, and several reliable and valid questionnaires were used to collect data. Descriptive statistics, odds ratio, independent t-test, and hierarchical multiple regression analyses were utilized to analyze data. Results showed that the differences in self-reported depression and in the AIDS preventive self-efficacy varied by gender, substance use, and having sexual experience. Furthermore, depression was a significant predictor of AIDS preventive self-efficacy while controlling the covariates. This study suggests that gender and mental health status such as depression may play significant roles in AIDS preventive self-efficacy. Nurses and health care providers should take the influence of mental health into consideration when designing AIDS preventive interventions for male and female Taiwanese adolescents. The provided information may also enhance psychiatric nurses' capability to provide care and to enhance the prevention of HIV infection for adolescents.