Stress has an established association with depression. However, not all adolescents experiencing stressors become depressed and it is helpful to identify potential resilience factors. The current study tests a theoretical extension of a stress-diathesis model of depression in a Chinese context, with stress, coping, family relationships, and alexithymia as risk factors for depression. This community study involves 1,199 secondary school students (567 males and 632 females) aged between 14 and 20 from six high schools with different bandings in Hong Kong. The models tested confirm the relationship between stress and depression. Ability to identify of one's feelings (alexithymia subscale), the adoption of problem solving coping and the rejection of non-productive coping all acted as protective factors (moderators) against depression in the presence of stress. Coping also partially mediated the relationship between alexithymia and depression. A stress-diathesis model received some support, however, a complex set of inter-relationship between all the explanatory variables was revealed. Problem solving coping and non-productive coping emerged as key factors in understanding adolescent depression.