The transactional cognitive vulnerability to stress model Hankin & Abramson (Psychological Bulletin, 127:773-796, 2001) extends the traditional diathesis-stress model by proposing that the relationships among cognitions, depressive symptoms, and stressors are dynamic and bidirectional. In this study three different pathways among these variables were assessed simultaneously: (1) cognitive vulnerabilities and stressors as predictors of depressive symptoms (vulnerability model), (2) depressive symptoms and cognitive vulnerabilities as predictors of stressors (stress generation model), and (3) depressive symptoms and stressors as predictors of cognitive vulnerabilities (consequence model). A fully cross-lagged design panel was employed with 1,187 adolescents (545 girls and 642 boys, Mean Age = 13.42 years) who were assessed at two time points separated by 6 months. They completed measures of cognitive vulnerabilities (maladaptive schema domains and negative inferential style), stressors, and depressive symptoms. Inferential style and schemas of the disconnection and rejection domain predicted prospective increases in depressive symptoms. Initial levels of depressive symptoms and most cognitive vulnerabilities predicted greater stress generation. Initial levels of stressors and depressive symptoms predicted an increase in negative inferential style and maladaptive schema domains over time. These bidirectional relationships were mostly similar for boys and girls, although there were a few gender differences. The findings support a transactional model with reciprocal relationships among stress, depressive symptoms, and cognitive vulnerabilities. Transactional implications for depression interventions among adolescents are discussed.