Although there has been evidence for some time of a sex difference in depression, relatively little research has examined the developmental process by which women come to be at greater risk than men for depression. In this paper, the developmental pattern of depressed affect is examined over early and middle adolescence, with a special focus on the patterns of boys as compared to girls. In addition, a developmental model for mental health in adolescence is tested for its power in explaining the emergence of gender differences in depression. Longitudinal data on 335 adolescents randomly selected from two school districts were used to test the hypotheses. Results revealed that girls are at risk for developing depressed affect by 12th grade because they experienced more challenges in early adolescence than did boys. The sex difference in depressed affect at 12th grade disappears once early adolescent challenges are considered.