The aim of this study was to determine whether depression can explain the negative relationship between academic performance and the belief that intelligence is a fixed trait, i.e., entity belief. A sample of 353 French volunteer adolescents (age 11–16) completed questionnaires assessing entity theory and depressive symptoms (Children Depression Inventory: CDI). Academic performance was assessed by math performance while controlling for baseline level of math ability. Results of this study revealed that entity theory is a significant negative predictor of academic performance and a significant positive predictor of depression. Importantly, our findings also show that depression plays a significant mediating role between entity theory and academic performance. Our findings indicate that individuals who consider their abilities to be non-malleable are more likely to develop depressive symptoms which, in turn, decrease academic performance. These findings contribute to tailoring specific prevention and treatment programs for childhood and adolescent depression.