Background: This study examines the associations between perceived discrimination and depressive symptoms among Turkish–Dutch and Moroccan–Dutch adolescents and young adults living in the Netherlands. Methods: We analysed cross-sectional data from a sample of 199 Turkish–Dutch and 153 Moroccan–Dutch respondents, aged 15–24 years, using multiple logistic regression analyses. Discrimination was measured on group level and personal level. Depression was measured by the Centre for Epidemiologic Studies-Depression Scale (CES-D). Results: Respondents that experienced perceived discrimination on a personal level were more likely than those that experienced no perceived discrimination to have depression (OR = 3.21, 95% CI = 1.59–6.47). This association was larger for the Moroccan–Dutch (OR = 5.32, 95% CI = 1.75–16.16) compared with the Turkish–Dutch (OR = 2.76, 95% CI = 1.03–7.40). Analysis of separate group level discrimination items, measuring different domains, revealed an association between discrimination on school and depression for the Moroccan–Dutch (OR = 2.80, 95% CI = 1.16–6.78). Conclusion: Personal level perceived discrimination is associated with depressive symptoms among young minority group members with a Turkish or Moroccan cultural background. This indicates that discrimination is an important factor that should be taken into account in developing public health policies.