The goal of the current multi-wave, longitudinal study was to test a cognitive vulnerability-stress model of depression in children by integrating Cole’s (1990) competency-based model with Beck’s (1983, 1987) event-congruency hypothesis. Focusing first on the main effects of children’s self-perceived competence, we found that low self-perceived social acceptance and scholastic competence were both associated with elevations in children’s depressive symptoms across the follow-up, though the effect was stronger for perceptions of social acceptance. Supporting a sex-specific vulnerability-stress model, low perceived social acceptance, but not scholastic competence, moderated the link between relational victimization and depressive symptoms over the follow-up for girls, but not boys.