This multi-wave longitudinal study examined the role of depressive symptoms and the weakest link approach as an indicator of cognitive vulnerability to predict stress generation. The weakest link approach posits that an individual is as cognitively vulnerable as his or her strongest attributional style. Data of 521 Chinese adolescents were investigated in this study. During an initial assessment, participants completed a demographic survey that assessed depressive symptoms, weakest links, and stress. Over the subsequent 6 months, participants completed monthly assessments of depressive symptoms and stress. The results indicated that both depressive symptoms and weakest link approach predict the generation of stress. High scores of depressive symptoms were associated with high levels of both independent stress and dependent stress. High weakest link scores predicted an increase of dependent stress. For the follow-up interval, the interaction of weakest link × depressive symptoms was a significant predictor for dependent stress but not for independent stress. In addition, gender difference was identified as a predictor of the stress generation effect. Compared with adolescent boys, adolescent girls tended to experience higher levels of dependent stress. These results suggest that depressive symptoms and cognitive vulnerability are important for the prediction of stress generation in Chinese adolescents.