Purpose: Adolescents engaging in early sexual intercourse are at elevated risk for depression, but it is not clear at what point of adolescent development this connection ceases to be significant. Depression is a highly prevalent mental health problem in adolescence compared to childhood, especially among girls. This study examines the association between self-reported depression and sexual intercourse across age cohorts throughout adolescence and separately in boys and girls. Methods: An analysis was conducted on the Finnish School Health Promotion Study data from the years 2010 and 2011 with 186,632 adolescents. Main outcomes were analyzed by χ2 test and logistic regression. Results: In the whole sample, 44.5% of depressed adolescents had engaged in sexual intercourse, but only 34.6% of non-depressed adolescents (p ≤ 0.001). Self-reported depression in adolescents aged 14–16 was associated with having experienced intercourse. The association between self-reported depression and sexual experience was strongest in younger adolescents and diminished gradually toward late adolescence. In boys aged 19, self-reported depression was associated with not having experienced intercourse. Conclusions: Among early and middle adolescents, there is a significant connection between self-reported depression and experience of sexual intercourse. Such connection is not seen, or even the opposite is observed, among late adolescents.