Gun violence is a major public health concern in the United States. According to the CDC, firearm injuries are the leading cause of death among children and adolescents in 2020. This violence can have a substantial impact on children and adolescents' health and well-being. Prior research links direct exposure to gun violence and negative mental health outcomes, including depression and post-traumatic stress among adults. However, limited research has evaluated the effects of indirect exposure of gun violence on mental health among adolescents. This paper examines the frequency of exposure to gun violence content on social media and its impact on adolescent mental health, including depression and anxiety symptoms. Data analyzed is from the Teen Social Media Experience Study (TSME), which includes up to 287 adolescents aged 14-17 years (Mean age = 16.11; SD = 0.85), who completed a survey about positive or negative experiences on social media platforms, which included exposure to gun violence, as well as depression symptoms. Approximately, 84.91% of adolescents have been exposed to gun violence on social media and 75.26% reported exposure over the past three months (Mean = 2.84; SD; range = 1.76). Overall, linear regression indicated that adolescents were exposed to more frequent gun violence on social media, they also experienced higher levels of depressive symptoms (B = 1.34, SE = 0.23, t = 5.83, p < 0.001) and anxiety symptoms (B = 1.37, SE = 0.28, t = 4.88, p < 0.001). Greater exposure of gun violence on social media is associated with depressive and anxiety symptoms among adolescents. Therefore, interventions and preventions should focus on reducing the level of gun violence in communities and online exposure through policy, education, and within the media industry.