The current multi-wave longitudinal study on childhood examined the role that social and academic self-efficacy beliefs and cognitive vulnerabilities play in predicting depressive symptoms in response to elevations in idiographic stressors. Children (N = 554; males: 51.4 %) attending second and third grade completed measures of depressive symptoms, negative cognitive styles, negative life events, and academic and social self-efficacy beliefs at four time-points over 6 months. Results showed that high levels of academic and social self-efficacy beliefs predicted lower levels of depressive symptoms, whereas negative cognitive styles about consequences predicted higher depression. Furthermore, children reporting higher social self-efficacy beliefs showed a smaller elevation in levels of depressive symptoms when reporting an increases in stress than children with lower social self-efficacy beliefs. Findings point to the role of multiple factors in predicting children's depression in the long term and commend the promotion of self-efficacy beliefs and the modification of cognitive dysfunctional styles as relevant protective factors.