Abstract Introduction Mental health problems rank among the leading causes of disability among young people globally. Young people growing up in urban slums are exposed to adverse childhood experiences, violence, and other adversities. There is limited research on how exposure to violence and adverse life events influence adolescents’ mental health in urban poor settings. This study examines the associations between exposure to violence, adverse life events and self-reported depression in the slums of Nairobi. Methods This study draws on data collected from 2106 adolescent girls aged 12–19 years who were interviewed in the third wave of the Adolescent Girls Initiative Kenya (AGI-K). Mental health was measured using the Patient Health Questionnaire (PHQ 9). Frequency distributions, bivariate chi-squared analysis and multi-variate regression models were computed to identify factors that are independently associated with depression. Results About 13.3% of girls had symptoms of depression based on PHQ 9, 22% reported physical or sexual violence in the past year and about 47% of girls reported exposure to adverse life events in the family in the past year. After adjusting for the effects of socio-demographic factors, exposure to physical violence (AOR = 2.926, 95% CI 2.175–3.936), sexual violence (AOR = 2.519, 95% CI 1.637–3.875), perception of neighborhood safety (AOR = 1.533, 95% CI 1.159–2.028) and experience of adverse life events (AOR = 1.326, 95% CI 1.002–1.753) were significantly associated with self-reported depression. The presence of social support moderated the relationship between violence and mental health by reducing the strength of the association between violence and mental health in this setting. Conclusion Given the magnitude of violence victimisation, adverse life events and depressive symptoms, there is a need to design interventions that reduce exposure to violence and provide psychosocial support to adolescents exposed to adverse events in urban slums in Nairobi.