Adolescent depression is a significant health problem which can lead to detrimental consequences. This study aimed to determine the prevalence of the depression in a sample of secondary school students, to identify its associated factors and to explore the co-occurrence with symptoms of anxiety disorders. We conducted, in March 2017, a cross-sectional study that included, using a cluster sampling technique, 386 students from five public secondary schools in El Kef (Tunisia). Data were collected using a socio-demographic questionnaire and the Arabic versions of the Beck Depression Inventory (13 items) and the Screen for Child Anxiety Related Disorders. Statistical analysis was performed using the Statistical Package for Social Sciences (SPSS) version 20. The prevalence of depression among participants was 75.9%. Of depressed students, 30.4% had mild depression, 48.8% had moderate depression and 20.8% had severe depression. The logistic regression analysis showed an association between the depression and the female gender [odds ratio (OR) = 2.59, 95% confidence interval (CI): 1.52-4.17], the 1st and 4th school grades (OR = 1.79, 95% CI: 1.09-2.94), the low and medium socioeconomic status (SES) (OR = 1.91, 95% CI: 1.14-3.18), the school dissatisfaction (OR = 2.77, 95% CI: 1.41-5.44) and the anxiety disorders (OR = 5.86, 95% CI: 3.54-9.70). The comorbidity "depression and anxiety" was found in 86.1% of students. This high prevalence of depressive symptoms reported in the present study seems to have many implications especially for school health-care services.