Prior theory and research have linked negative appraisals (NA), emotion reactivity (ER), and cognitive reactivity (CR) to depression; however, few studies have examined whether even two of these constructs simultaneously, but none have done so in child or adolescent populations. A total of 571 youths (ages 9–13) completed a novel procedure in which all three constructs were assessed in response to the same personally relevant, hypothetical, peer victimization events. Multilevel modeling enabled the extraction of dynamic, within-person, latent-variable measures of NA, ER, and CR. All three constructs were related to children's depressive symptoms in ways that were commensurate with most (but not all) theoretical frameworks. Gender and age differences also emerged. Support for an NA-predicts-ER-predicts-CR model suggests ways that these constructs can be integrated into a more complete, transtheoretical understanding of the cognitive-emotional substrate of depression in children.