As humans, we have a unique capacity to reflect on our experiences, including emotions. Over time, we develop beliefs about the nature of emotions, and these beliefs are consequential, guiding how we respond to emotions and how we feel as a consequence. One fundamental belief concerns the controllability of emotions: Believing emotions are uncontrollable (entity beliefs) should reduce the likelihood of trying to control emotional experiences using effective regulation strategies like reappraisal; this, in turn, could negatively affect core indices of psychological health, including depressive symptoms. This model holds particular relevance during youth, when emotion-related beliefs first develop and stabilize and when maladaptive beliefs could contribute to emerging risk for depression. In the present investigation, a pilot diary study (N = 223, aged 21–60) demonstrated that entity beliefs were associated with using reappraisal less in everyday life, even when controlling for possible confounds (i.e., self-efficacy, pessimism, stress exposure, stress reactivity). Then, two studies examined whether entity beliefs and associated impairments in reappraisal may set youths on a maladaptive trajectory: In a cross-sectional study (N = 136, aged 14–18), youths with stronger entity beliefs experienced greater depressive symptoms, and this link was mediated by lower reappraisal. This pattern was replicated and extended in a longitudinal study (N = 227, aged 10–18), wherein youth- and parent-reported depressive symptoms were assessed 18 months after assessing beliefs. These results suggest that entity beliefs about emotion constitute a risk factor for depression that acts via reappraisal, adding to the growing literature on emotion beliefs and their consequences for self-regulation and health.