Several studies have highlighted the adaptive role of self-compassion on human suffering and on a wide range of psychopathological conditions. Extensive research has shown that emotional intelligence has been associated with well-being, mental and physical health and quality of interpersonal relationships. We set out to explore the mediating role of self-compassion and emotional intelligence on the relationship between shame traumatic memories and depressive symptoms, and to explore if these were different between female and male adolescents. The sample was composed of 1101 adolescents from general population, whose age ranged from 14 to 18 years. Participants filled out a battery of self-report questionnaires designed to measure shame traumatic memories, self-compassion, emotional intelligence and depressive symptoms. Correlational analysis showed that in male and female adolescents, shame traumatic memories are associated with more depressive symptoms and with lower levels of self-compassion and emotional intelligence. Multigroup analysis showed that emotional intelligence has a greater impact on depression in female adolescents. Also, the impact of shame traumatic memories on depression is stronger in males, even though females report shame traumatic memories as more impactful. This study provides preliminary evidence that self-compassion and emotional intelligence are important emotion regulation processes for depressive symptoms in adolescence.