Exposure to peer stress contributes to adolescent depression, yet not all youth experience these effects. Thus, it is important to identify individual differences that shape the consequences of peer stress. This research investigated the interactive contribution of cumulative peer stress during childhood (second-fifth grades) and executive function (EF) deficits to depression during early adolescence (sixth grade). Youth (267 girls, 227 boys; [X-bar, subscript age] at Wave 1 = 7.95, SD = 0.37) completed questionnaires and semi-structured interviews to assess peer stress and depression, respectively; teachers completed the Behavior Rating Scale of Executive Function to assess everyday performance in several EF domains. As anticipated, exposure to peer stress in childhood predicted heightened sixth-grade depression in girls but not boys with higher levels of EF deficits. This study extends theory and research on individual differences in vulnerability to adolescent depression, in turn elucidating potential intervention targets.