Adverse life events have been causally linked to depression among youth at high risk for depression. But given that not all high-risk youth develop depression following adversity, individual differences in various processes, including physiological reactivity to stress, are likely to be at play. This longitudinal prospective study tested the hypothesis that, among high-risk youth exposed to adversities, extent of physiological reactivity to laboratory stress (indexed as respiratory sinus arrhythmia; RSA) would predict subsequent depressive symptoms. Subjects were youth at high (n = 80) and low (n = 74) familial risk for depression. At Time 1 (T1), RSA was assessed during a cognitive stress task. At Time 2 (T2) about 2 years later, parents reported on adversities experienced by their offspring during the interim. At T1 and T2, youth received a diagnostic evaluation, which included assessment of their depressive symptoms. The three-way interaction of group-X-adversities-X-RSA predicted T2 depressive symptoms (controlling for T1 depressive symptoms). This interaction was mostly driven by the moderating effect of RSA among high-risk youth, such that adversities predicted higher depressive symptoms for those who displayed greater RSA reactivity to stress. Among low-risk youth, an inverse marginal moderating effect of RSA was found, such that adversities tended to predict depressive symptoms for those who displayed blunted RSA reactivity to stress. Thus, high physiological stress reactivity appears to be an additional risk factor for depressive symptoms only among youth at elevated risk for such outcomes, and should be taken into consideration in efforts to prevent depression in these populations.