This study examined the conjoint contribution of sociotropy, negative inferences about social events, and social stressors to the development of depression in adolescents. This study tested the interactive and mediational mechanisms between these components from a transactional perspective of cognitive vulnerability and assessed the role of these mechanisms as explanations of gender differences in depression. Participants included 853 adolescents who completed measures of sociotropy, negative inferences about social events, and depressive symptoms at the beginning of the study, and measures of social stressors and depressive symptoms at a 6-month follow-up. An interactive model showed that the impact of negative inferences on depression was higher for adolescents who scored high on sociotropy. The mediational model suggested that negative inferences and stress generation mediated the association between sociotropy and the increase in depressive symptoms at follow-up. Higher scores on sociotropy and negative inferences accounted for the higher depressive symptoms observed among female adolescents. Finally, negative inferences, alone or interacting with social stressors, more strongly predicted the residual change in depressive symptoms for female than for male adolescents.