Depression is a common comorbidity in autism spectrum disorder (ASD). Little is known about risk factors for depression and depressive symptoms in this population. Ecological momentary assessment (EMA) has been used in the typically developing population to identify risk factors for depression, but has been rarely applied in ASD populations. In this exploratory study, 17 autistic adolescents participated in an EMA protocol in which they reported on their current activities and emotions six times per day for seven consecutive days. Results suggested that negative affect is predicted by momentary quality of social interaction and enjoyment of the current activity (p < 0.05). Additionally, affective instability predicted depressive symptoms. These results provide insights into risk factors for depression in this vulnerable population.