The current study used longitudinal data (N = 1322; 648 males, 674 females) from adolescents ages 12 to 19 years (in 1994) to investigate gender differences in and risk factors for depressive symptoms and major depressive episodes (MDEs). The sample had participated in three waves of Canada's National Population Health Survey (1994, 1996, and 1998). Results showed that although there was not a statistically significant increase in depressive symptoms in early adolescence, there was a robust gender difference in the levels of depressive symptoms and the prevalence of MDE, with girls more affected than boys. Over time, decreases in social support and increases in smoking were both linked to increases in depressive symptoms. Moreover, youth who smoked and who were free from major depression in 1994 were 1.4 times more likely to report a MDE in 1996 or 1998. To be effective, prevention and treatment programmes for depression may also need to address risks such as poor social support and smoking, as these risk factors may serve to maintain depressive symptoms over time. (Contains 6 tables.)