Stress generation is a process in which individuals, through their depressive symptoms, personal characteristics, and/or behaviors, contribute to the occurrence of stressful life events. While this process has been well documented in adults, few studies have examined it in children. The present study examines whether cognitive and interpersonal vulnerability factors to depression contribute to stress generation in children, independent of their current depressive symptoms. Participants included 140 children (ages 6 to 14) and one of their parents. During an initial assessment, children completed self-report measures assessing cognitive and interpersonal vulnerability factors to depression. Children and their parents also completed measures assessing depressive symptoms. One year later, children and their parents participated in a semi-structured interview assessing the occurrence of stressful life events in the past year. Multi-level modeling results provided strong support for the stress generation process in children of affectively ill parents and highlight the importance of considering gender and age moderation effects.