Prevalence differences in depressive symptoms between the sexes typically emerge in adolescence, with symptoms more prevalent among girls. Some evidence suggests that variation in onset and progression of puberty might contribute to these differences. This study used a genetically informative, longitudinal (assessed at ages 12, 14, and 17) sample of Finnish adolescent twins (N = 1214, 51.6% female) to test whether etiological influences on depressive symptoms differ as a function of pubertal status. These tests were conducted separately by sex, and explored longitudinal relationships. Results indicated that pubertal development moderates environmental influences on depressive symptoms. These factors are more important on age 14 depressive symptoms among more developed girls relative to their less developed peers, but decrease in influence on age 17 depressive symptoms. The same effects are observed in boys, but are delayed, paralleling the delay in pubertal development in boys compared to girls. Thus, the importance of environmental influences on depressive symptoms during adolescence changes as a function of pubertal development, and the timing of this effect differs across the sexes.