The present prospective study examined the relations among stressful life events, coping, and depressive symptoms in children at varied risk for depression. Participants were 227 children between 7 and 17 years old (mean age = 12.13 years, SD = 2.31, 54.6 % female) who were part of a longitudinal study of depressed and nondepressed parents and their children. Youth completed measures assessing stressful life events and coping strategies at four time points over 22 months. Children’s depressive symptoms were assessed at each time point by clinical interviews of parents and children, and children’s self-report. Structural equation modeling indicated that stressful life events significantly predicted subsequent depressive symptoms. Bootstrap analyses of the indirect effects in three different models revealed that primary control engagement coping and disengagement coping strategies partially mediated the relation between stressful life events and children’s depressive symptoms across time. Regarding the direction of effects, more consistent relations were found for coping as a mediator of the link from stress to depressive symptoms than from symptoms to stress. Thus, one potential mechanism by which stressful life events may contribute to depressive symptoms in children is through less use of primary control coping and greater use of disengagement coping strategies. This is consistent with the view that the adverse effects of stress may contribute to impairments in the ability to cope effectively.