Violence is considered one of the most important public health problems among Latino countries. In Colombia, approximately 41% of Medellin’s inhabitants have witnessed a homicide, 75% have witnessed an aggressive incident, and 40% have been victims of other types of violent incidents. Despite increased national/international attention paid to the effects of neighborhood violence exposure on childhood depression, little is still known about this phenomenon in non-clinical samples. This study examined neighborhood violence exposure and depression (negative mood, interpersonal problems, ineffectiveness, anhedonia, and negative self-esteem) among N = 320 8–12 years old youth. Data were collected from public schools in Medellin during 2009. Kovacs’ Children’s Depression Inventory was used to assess depression; neighborhood violence exposure was measured using Medellin’s Human Rights report on high-low violence rates neighborhoods where participants lived and/or attended school. Results show that 26 children reported depressive symptoms (a prevalence of 8.9 % in the total sample). Among early adolescents (boys and girls), exposure to higher levels of violence was associated with greater ineffectiveness. Gender did not moderate the relationship between violence exposure and depression subscales. Results raise awareness about the importance to further exploring other factors related to neighborhood violence exposure and depression (e.g., developmental stage, gender).