The first year of college is a significant life transition, which is often characterized by stress and may contribute to the development or exacerbation of depressive symptoms. Due to the considerable negative outcomes that are associated with depressive symptoms across the lifespan, it is important to understand the mechanisms and pathways through which depressive symptoms arise. This prospective study examines the mediating and moderating roles of perceived social support and disengagement coping on the association between self-esteem and depressive symptomatology in a sample of 1,118 first-year college students. Results of longitudinal cross-lagged path analyses indicate that self-esteem predicts depressive symptomatology via perceived social support and disengagement coping. The association between self-esteem and perceived social support appear to be bidirectional, in that level of self-esteem predicts perceived social support, and vice versa. Furthermore, disengagement coping was found to moderate the effect of self-esteem on depressive symptomatology, in that increased levels of disengagement coping led to greater depressive symptoms within the context of both high and low self-esteem. However, this pattern was not observed at lower levels of disengagement coping, which indicates high levels of disengagement coping as a particular risk factor for depressive symptomatology, diminishing the advantage of high self-esteem.