Risk and protective processes and mechanisms associated with depression in youth are discussed within a developmental–ecological framework. Risk factors at the individual (genetics, biology, affect, cognition, behaviour) and broader contextual levels (e.g., family, school, community) are proposed to interact, leading to the development of depression in youth. Transactions between these individual and contextual factors are suggested to be dynamic and reciprocal, and these transactions are expected to change over time and developmental course. The ‘best bet’ for the prevention of depression may be multicomponent and multilevel interventions that address the multiple risk and protective factors associated with depression. Preventive interventions need to focus on building protective factors within young people themselves, as well as creating health-promoting environments at home and at school. These interventions likely need to be long term and geared towards assisting youth across successive periods of development.