As a time of notably increased stress and a marked rise in depressive symptoms, adolescence is a key period in which to examine how stress is related to mental health outcomes. Many studies examine stress as a unitary construct; however, research suggests that how adolescents respond to stress within different domains may differentially predict depression. The current study used an 8-week weekly diary design to assess how adolescents’ cognitive appraisals, rumination, and co-rumination in response to dependent, independent, social, and nonsocial stressors differentially predicted depressive symptoms. Participants were 111 high school students (72 % female) ages 14–19 years (mean age 16.4). Results indicated that rumination and co-rumination about dependent and social events, rather than independent or nonsocial events, prospectively predicted depressive symptoms. Negative cognitive appraisals prospectively predicted depressive symptoms regardless of domain. This study provides support for the hypothesis that adolescents’ responses to stress in different domains differentially predict depressive symptoms.