Stress has been shown to have a causal effect on risk for depression. We investigated the role of cognitive ability as a moderator of the effect of stressful life events on depressive symptoms and whether this varied by gender. Data were analyzed in two adolescent data sets: one representative community sample aged 11–12 years (n = 460) and one at increased familial risk of depression aged 9–17 years (n = 335). In both data sets, a three-way interaction was found whereby for girls, but not boys, higher cognitive ability buffered the association between stress and greater depressive symptoms. The interaction was replicated when the outcome was a diagnosis of major depressive disorder. This buffering effect in girls was not attributable to coping efficacy. However, a small proportion of the variance was accounted for by sensitivity to environmental stressors. Results suggest that this moderating effect of cognitive ability in girls is largely attributable to greater available resources for cognitive operations that offer protection against stress-induced reductions in cognitive processing and cognitive control which in turn reduces the likelihood of depressive symptomatology.