This study examined sex differences in risk factors associated with adolescent depression in a large sample of boys and girls. Moderation and mediation explanatory models of the sex difference in likelihood of depression were examined. Findings indicate that the factors associated with depression in adolescent boys and girls are quite similar. All of the variables considered were associated with depression, but sex did not moderate the impact of vulnerability factors on likelihood of depression diagnosis. However, negative self-perceptions in the domains of achievement, global self-worth, and physical appearance partially mediated the relationship between sex and depression. Further, girls had higher levels of positive self-perceptions in interpersonal domains that acted as suppressors and reduced the likelihood of depression in girls. These findings suggest that girls' higher incidence of depression is due in part to their higher levels of negative self-perceptions, whereas positive interpersonal factors serve to protect them from depressive episodes.