In a school-based, four-wave, longitudinal study, children (grades 4-7) and young adolescents (grades 6-9) completed questionnaires measuring depressive symptoms and depressive cognitions, including positive and negative cognitions on the Cognitive Triad Inventory for Children (CTI-C; Kaslow, Stark, Printz, Livingston, & Tsai, 1992) and self-perceived competence on the Self-Perception Profile for Children (SPPC; Harter, 1985). Application of the Trait-State-Occasion model (Cole, Martin, & Steiger, 2005) revealed the existence of a time-invariant trait factor and a set of time-varying occasion factors. Gender differences emerged, indicating that some cognitive diatheses were more trait-like for girls than for boys (i.e., positive and negative cognitions on the CTI-C; self-perceived physical appearance and global self-worth on the SPPC). Implications focus on the emergent gender difference in depression, the design of longitudinal studies, and clinical decisions about the implementation of prevention versus intervention programs.