The goal of the present study was to determine whether exposure to adversity in childhood contributes to a differential threshold at which stressful life events provoke depressive reactions in adolescence. In addition, to address empirical and conceptual questions about stress effects, the moderating effect of anxiety disorder history was also explored. This examination was conducted in a sample of 816 children of depressed and nondepressed mothers, who were followed from birth to age 15. Information on adversities experienced in childhood was collected both from mothers during the first five years of their youth’s life and from the youths themselves at age 15, and included information on the mother’s relationship with her partner, maternal psychopathology, as well as youth-reported abuse. Results indicated that youths with both greater exposure to adversity in childhood and a history of an anxiety disorder displayed increased depressive severity following low levels of episodic stress compared to youths with only one or neither of these risk factors. The results are speculated to reflect the possibility that early anxiety disorders associated with exposure to adversity in childhood may be a marker of dysregulated stress responses, and may help to account for the comorbidity of depression and anxiety in some individuals.