After conducting a study of more than 14,000 US teens aged between 14 and 17, researchers said the feelings could be directly ascribed to sexual activity, rather than outside influences.
The study found that having sex doubled the chances of girls becoming depressed, with 19 per cent of those who had sex exhibiting symptoms of depression, compared with 9.2 per cent who had abstained.
Researchers also found that the mental health of boys in the same age group did not correlate with sexually active.
Christian Medical Fellowship chairman Dr Trevor Stammers said the study showed that most girls, "retrospectively showed regret about early intercourse."
The study is published in the Journal of Health Economics.