This study explored the possible links between perceived stress, coping strategies, depression, and somatic complaints, which have often been supported in other populations, in a school-based sample of Zambian adolescents ages 11–19 years (= 230; 60% males). Zambian adolescents reported elevated levels of depressive symptoms and somatic complaints, suggesting a need to study this population further. Like previous studies, perceived stress was found to be positively associated with both depressive symptoms and somatic complaints. Unexpectedly, coping was found to be positively associated with depressive symptoms, perhaps because of the cross-sectional nature of the design. The possible influence of culture on the findings (e.g., construct validity, difference in how coping functions adaptively) is discussed.