Between the ages of 10 and 15, increases in depression among girls result in a rate that is twice as high as the rate of depression in boys. This sex difference remains throughout early and middle adulthood. Prior to early adolescence, there is essentially no sex difference in the rate of depression. The aim of the present review is to examine whether the preadolescent period is a time during which precursors to depression in girls can be identified. First, existing areas of research on explaining sex differences in depression, including cognitive and affiliative style and the socialization of emotion, are reviewed. Second, the hypothesis that for some girls, preadolescent precursors to depression take the form of excessive empathy, compliance and regulation of negative emotions is articulated. Third, ways of building on existing models by including the proposed preadolescent precursors are proposed. Finally, approaches to testing the hypotheses that individual differences in these domains during preadolescence may explain later individual differences in adolescent onset depression are explored.