This study aims to investigate whether gender differences in the prevalence of depressive symptoms, with girls reporting more depressive symptoms than boys, are related to gender differences in cognitive schema vulnerability. A cross-sectional study investigating adolescents from both clinical (N = 110) and non-clinical samples (N = 118) was conducted, using the Young Schema Questionnaire — Short Form (YSQ-SF) as a measure of cognitive schema vulnerability. Results show that adolescent girls tend to score higher on several maladaptive cognitive schemas, and that these schemas tend to be more highly correlated with depressive symptoms compared to adolescent boys. Further, cognitive schema vulnerability mediated the relationship between life-stress and depressive symptoms in girls but not in boys.