A four-year longitudinal study explored the different contribution of low self-esteem, different types of stressors, conflict in close relationships and avoidant coping to the explanation of depressive symptomatology in adolescents. One hundred and ninety adolescents, 101 females and 89 males, participated in four annual assessments using diverse instruments. ANOVAs repeated measurements revealed a higher stress level, more conflicts with mothers and more avoidant coping in females as compared to males at the age of 14 years. Males showed fewer depressive symptoms and higher positive self-esteem at all times. Multiple regression analysis revealed that stress and avoidant coping in early and mid-adolescence explained a significant proportion of depressive symptoms among females in late adolescence. Among males, only the level of conflicts with friends in early adolescence contributed to their level of depressive outcome in late adolescence.