Adolescents (N=2,272) from Hong Kong and the United States provided information regarding their depressive symptoms, cognitions (self-efficacy, negative cognitive errors, and hopelessness), and stressful events between 2 surveys 6 months apart. Depressive symptoms and hopelessness were higher, and self-efficacy and negative cognitive errors were lower in Hong Kong than in the United States. Cognitions were associated with concurrent depressive symptoms and predicted depressive symptoms 6 months later in both cultures. The "reverse" model was also supported with more variance predicted by depressive symptoms to later cognitions than from cognitions to depressive symptoms. There was some support for the hypothesis that self-efficacy is less salient in collective compared with individualistic cultures. These findings extend cognitive theories of depression to a non-Western culture.