Little research has examined subtle, intersectional, and everyday minority stress, such as microaggressions specific to being a queer person of color, and its associations with depressive symptoms among sexual and gender minority adolescents (SGMA) of color. Moreover, research is needed to identify mechanisms that might explain the associations between minority stress and depression. This study examined the associations between subtle and intersectional minority stress (i.e., SGMA of color-specific microaggressions) and depressive symptoms among SGMA of color and tested self-concept factors (i.e., self-esteem and sense of mastery) as mediators of these associations. A large national US sample of SGMA of color (N = 3398; 31.8% transgender; 55.7% plurisexual) ages 13 to 17years (M = 15.56, SD = 1.27) were recruited online. Participants' race/ethnicity were Asian/Pacific Islander (12.2%), Black/African American (13.2%), Hispanic/Latina(o)/x (30%), Native American/Alaska Native (1.2%), Middle Eastern (1.9%), Biracial or Multiracial (40%), and other racial/ethnic minority groups (1.7%). Over and above the effects of racism and SGM-based victimization, subtle intersectional minority stressors were associated with greater depressive symptoms and lower self-esteem and sense of mastery. Mediation analyses indicated that subtle intersectional minority stressors had indirect effects on depressive symptoms through lower self-esteem and sense of mastery for the aggregate sample of SGMA of color and most racial/ethnic groups in the sample. The results demonstrate that subtle and intersectional minority stress is a unique and significant form of minority stress that is a risk factor for depressive symptoms for SGMA of color. Moreover, our findings underscore self-concept mechanisms as targets for prevention and intervention.