This research investigated the developmental stages (pubertal status) and contexts (early or late timing relative to peers, and a context of stressful versus supportive peer relationships) in which the sex difference in depression unfolds. A sample of 158 youth (ages 9.6–14.8) and their caregivers provided information at two waves, 1 year apart, on puberty, peer stress, and depression. Pubertal status and timing (actual and perceived) interacted with sex to predict depression. Sex differences in depression were evident at particular levels of pubertal status and timing, both actual and perceived. Depression was associated with more mature pubertal status and early timing (both actual and perceived) in girls, but with less mature pubertal status and late timing (actual and perceived) in boys. These patterns held concurrently, and often over time, particularly in a context of stressful peer relationships (peer stress moderated sex-differentiated associations between puberty and depression). Of note, there were no significant sex differences in depression at any particular age. Thus, this research highlights important distinctions among the contributions of age, pubertal status, pubertal timing, and perceived timing to the sex difference in adolescent depression. More broadly, these findings contribute to our growing understanding of the interactions among physical, social, and psychological processes involved in the sex difference in adolescent depression.