The University of Montreal team found that for every hour of social media use above the average, the teenagers showed a 0.64-point increase in depressive symptoms above their peers. And those who increased their use of social media each year saw a further 0.41-point increase.
In the UK the average 14 year old uses social media for three to four hours a day, according to a report in March by an all-party parliamentary group.
Elroy Boers, who led the Canadian study, said: "Social media and television are forms of media that frequently expose adolescents to images of others operating in more prosperous situations, such as other adolescents with perfect bodies and a more exciting or rich lifestyle. Furthermore, based on reinforcing spirals theory, people seek out and select information congruent with their current state-of-mind."
He added: "The algorithmic features of television viewing and in particular, social media, create and maintain a feedback loop by suggesting similar content to users based on their previous search and selection behaviour.
"Thus, the more one's depressive state influences their viewing choices, the more similar content is being suggested and provided."
The research was reported in the JAMA Paediatrics medical journal.
Dame Sally Davies, the chief medical officer, has said parents should ban mobile phones from children's bedrooms and impose screen limits. She advised that children should have a break every two hours.