Knowledge about the role of empathy, emotional self-efficacy, and loneliness on early adolescents' depressive symptoms is scarce. The main aims of the study were to investigate the following: (a) the role of empathy and emotional self-efficacy (additive and interactive) on loneliness and depressive symptoms, taking into account gender differences and (b) the possible mediating role of loneliness in the relationship between emotional predictors and depressive symptoms. Three hundred forty-eight Italian early adolescents (48% girls; mean age, 13; SD = 0.3) completed an anonymous self-report questionnaire at two time points (1 year apart). Structural equation modeling (SEM) was used to analyze data. Results indicated the following: (a) high empathy and low emotional self-efficacy were related to higher subsequent loneliness and depressive symptoms; (b) emotional self-efficacy moderated the relationship between empathy and loneliness and, only for girls, between empathy and depressive symptoms; (c) no mediation role of loneliness between emotional predictors (empathy and emotional self-efficacy) and depressive symptoms was found. Results are discussed in relation to preventive interventions targeting early adolescents.