The hopelessness theory of depression is a prominent account of depression that posits that individuals with a negative inferential style are more likely to become hopeless when they experience negative life events (NLEs) and that hopelessness is a proximal cause of depression. There is strong evidence supporting the role of a negative inferential style in the pathogenesis of major depression; however, substantially less is known about the proposed role played by hopelessness. The cornerstone hypothesis of hopelessness theory, that hopelessness is a proximal cause of major depression, is largely untested. A small number of studies have generated inconclusive evidence that hopelessness mediates the relationship between a negative inferential style, NLEs, and depressive symptoms. The current study tested whether hopelessness mediates the relationship between a Negative Inferential Style × NLEs interaction and (a) 1st onset of a major depressive episode (MDE) and (b) depressive symptoms in a fully prospective design. A diverse sample of 249 adolescents, ages 12–13 years, were assessed at baseline and at 2 or more follow-ups over approximately 2.5 years. Self-report as well as life event and diagnostic interviews assessed inferential style, NLEs, hopelessness, depressive symptoms, and depression diagnosis. Moderated mediation analyses indicated that hopelessness mediated the relationship between a Negative Inferential Style × NLEs interaction and (a) 1st onset of an MDE as well as (b) depressive symptoms at higher levels of multiple types of NLEs. The current study demonstrates the validity of the hopelessness theory of depression and its continued clinical relevance in predicting depression in adolescence.