Sexual minority individuals are at an elevated risk for depression compared to their heterosexual counterparts, yet less is known about how depression status varies across sexual minority subgroups (i.e., mostly heterosexuals, bisexuals, and lesbians and gay men). Moreover, studies on the role of young adult gender nonconformity in the relation between sexual orientation and depression are scarce and have yielded mixed findings. The current study examined the disparities between sexual minorities and heterosexuals during young adulthood in concurrent depression near the beginning of young adulthood and prospective depression 6 years later, paying attention to the diversity within sexual minority subgroups and the role of gender nonconformity. Drawn from the National Longitudinal Study of Adolescent Health (N = 9421), we found that after accounting for demographics, sampling weight, and sampling design, self-identified mostly heterosexual and bisexual young adults, but not lesbians and gay men, reported significantly higher concurrent depression compared to heterosexuals; moreover, only mostly heterosexual young adults were more depressed than heterosexuals 6 years later. Furthermore, while young adult gender nonconforming behavior was associated with more concurrent depression regardless of sexual orientation, its negative impact on mental health decreased over time. Surprisingly, previous gender nonconformity predicted decreased prospective depression among lesbians and gay men whereas, among heterosexual individuals, increased gender nonconformity was not associated with prospective depression. Together, the results suggested the importance of investigating diversity and the influence of young adult gender nonconformity in future research on the mental health of sexual minorities.