This study examined effects of risk factors in multiple domains measured in preschool and kindergarten on age 6 depression symptoms, and on changes in symptom levels between ages 4 and 6. Two models were examined in a large, diverse (N = 796) community sample of children and parents. Risk variables included SES, stress, conflict, parental depression, parental hostility, support, scaffolding, child negative affect (NA), effortful control (EC), sensory regulation (SR), and attachment security. Model 1 included effects of risk factors at ages 4 and 5 on child depression symptoms at age 6. Model 2 also included depression symptoms at all three ages to examine changes in these symptoms. Model 1 revealed that age 4 and 5 parental depression, NA, EC, and SR predicted age 6 child depression levels, Several age 4 variables had indirect pathways to age 6 depression via age 5 EC. Model 2 revealed that preschool depression was the only age 4 variable, and EC and SR were the only age 5 variables that significantly predicted increases in age 6 depression. These findings highlight the role of self-regulation in child depression and suggest that targeting self-regulation may be an effective prevention and intervention strategy.