Theory suggests that rejection sensitivity, a social cognitive processing style characterised by anxious and angry expectations of rejection, develops from experiences of rejection or acceptance by others. The purpose of this study of 417 children and early adolescents (age 9 to 13) was to examine how relationship experiences are directly and interactively associated with their rejection sensitivity. In a multivariate analysis, there was an association of rejection by parents and by peers with rejection sensitivity, with a stronger association between peer rejection and sensitivity than between parent rejection and sensitivity. Regarding interactive effects, peer rejection was found to have a strong association with rejection sensitivity among participants with low or high parent acceptance, and among those with high friendship satisfaction. Yet, there was evidence of a stronger association between peer rejection and rejection sensitivity among those with low parent acceptance or high friendship quality. This was because rejection sensitivity was highest when peer rejection was high and parent acceptance was low, and sensitivity was lowest when peer rejection was low and friendship quality was high. Findings show how young people's relationships in different domains uniquely co-vary with rejection sensitivity and interact in accounting for angry and anxious expectations of rejection by others.