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A cross-sectional non-clinical sample of 1,218 adolescents, aged 10–17 years, completed measures of stress, rumination, and depression to allow tests of the response style theory of S. Nolen-Hoeksema [J Res Adolesc 4:519–534, 1994] in adolescents, in particular whether increasing levels of stress and rumination in early adolescence are predictive of the onset of the gender difference in depression. Overall, females reported higher levels of stress, rumination, and depression than males. The onset of the gender differences in stress and depression occurred at age 13 years, and for rumination one year earlier at 12 years. Significantly, also from 13 years, rumination explained the gender difference in depression by showing that it significantly mediated the effect of gender on depression. Gender moderated the rumination to depression relationship; specifically the association was stronger for females than …