In the transition from childhood into adolescence, a female preponderance in depression emerges. Despite substantial empirical research to test theoretical propositions as to why this happens, our understanding is still limited. One explanation claims that girls become exposed to more stress (stress exposure model) whereas another proposes that girls become more vulnerable to the impact of stress (stress reactivity model) than boys when entering adolescence. Stressful life events (SLEs) and bullying victimization are established risk factors for adolescent depression. However, whether these factors contribute to the gender difference in depression is undetermined and thus investigated herein. Children (49.9% boys;n= 748) and parents from two birth cohorts in Trondheim, Norway, were followed biennially from ages 8 to 14 with clinical interviews about symptoms of depressive disorders and self-reports on SLEs. Teachers reported on bullying victimization. Prospective associations were investigated using an autoregressive latent trajectory model with structured residuals, examining within-person longitudinal associations while accounting for all time-invariant confounding effects. The number of depressive symptoms increased from ages 12 to 14 among girls. In the period before (ages 10 to 12), girls and boys were equally exposed to SLEs and bullying victimization. Increased stress (both SLEs and bullying victimization) at age 12 predicted increased depression at age 14 more strongly among girls than boys. Hence, increased impact—but not exposure—of SLEs and bullying victimization in girls may partly explain the emerging female preponderance in depression, in line with a stress reactivity model.Supplementary InformationThe online version contains supplementary material available at 10.1007/s10802-023-01031-6.