In a prospective study of adolescent depression, adolescents (N = 1,508) were assessed at Time 1 and after 1 year (Time 2) on psychosocial variables hypothesized to be associated with depression. Most psychosocial variables were associated with current (n = 45) depression. Formerly depressed adolescents (n = 217) continued to differ from never depressed controls on many of the psychosocial variables. Many of the depression-related measures also acted as risk factors for future depression (n = 112), especially past depression, current other mental disorders, past suicide attempt, internalizing behavior problems, and physical symptoms. Young women were more likely to be, to become, and to have been depressed. Controlling for the psychosocial variables eliminated the gender difference for current and future but not for past depression.