Theories of depression suggest that cognitive and environmental factors may explain the relationship between personality and depression. This study tested such a model in early adolescence, incorporating neuroticism, stress-generation and negative automatic thoughts in the development of depressive symptoms. Participants (896 girls, mean age 12.3 years) completed measures of personality and depressive symptoms, and 12 months later completed measures of depressive symptoms, recent stressors and negative automatic thoughts. Path analysis supported a model in which neuroticism serves as a distal vulnerability for depression, conferring a risk of experiencing dependent negative events and negative automatic thoughts, which fully mediate the effect of neuroticism on later depression. A second path supported a maintenance model for depression in adolescence, with initial levels of depression predicting dependent negative events, negative automatic thoughts and subsequent depressive symptoms. Unexpectedly, initial depression was also associated with later independent life events. This study establishes potential mechanisms through which personality contributes to the development of depression in adolescent girls.