This research explored sex differences in the pathways linking pubertal timing to depression across 4 years. A sample of 167 youth (M age = 12.41 years, SD = 1.19) and their caregivers completed measures of puberty and semistructured interviews of interpersonal stress and youth depression. Youth reported on psychological (negative self-focus, anxious arousal) and social–behavioral (coping) characteristics; parents reported on youths’ social–behavioral characteristics (withdrawal/social problems) and deviant peer affiliations. Early maturation predicted stable high trajectories of depression in girls; although early maturing boys showed low initial levels of depression, they did not differ from girls by the final wave of the study. Latent growth curve analyses identified several psychological, social–behavioral, and interpersonal pathways accounting for the contribution of pubertal timing to initial and enduring risk for depression in girls as well as emerging risk for depression in boys. These findings provide novel insight into multilevel processes accounting for sex differences in depression across the adolescent transition.