Sexual minority youth are more vulnerable than their heterosexual peers to suffer from depression and suicidality. The purpose of the current project was to investigate the relationship of state-level policy protections with depression and suicidality in sexual minority youth. Variance in sexual minority legal protections across states allows for a natural test of this relationship. The Youth Behavior Risk Survey (YRBS) evaluates the decisions, physical health, and mental health of high school students. Of the states that administered the 2017 YRBS, twenty-four states asked about sexual orientation, with 13,749 respondents reporting sexual minority status and 69,866 respondents reporting non-sexual minority status. Four YRBS items were used to measure depression and suicidality. Data from the Movement Advancement Project was aggregated to measure the existence of state-level anti-bullying and/or nondiscrimination protections. To control for political climate, each state’s percent conservative rate was included in a follow-up covariate analysis. We found that in states with sexual minority anti-bullying and/or nondiscrimination protections, sexual minority youth showed significantly lower rates of depressed mood, suicidal ideation, and suicide attempts compared with sexual minority youth in states without such policies. These relationships remained unchanged when controlling for the political climate of the states. Our results suggest that policy may play a role in reducing depression and suicidality in sexual minority youth, who are at special risk for adverse mental health outcomes.