This research investigated whether exposure to peer stress serves as one pathway through which pubertal development contributes to depression over time, differentially for girls and boys. Youth (N = 149; 9.6–14.8 years) and their caregivers provided information at two waves, 1 year apart, on puberty (Wave 1), peer stress (occurring between Waves 1 and 2), and depression (Waves 1 and 2). Structural equation modeling analyses examined sex differences in the extent to which peer stress mediated the impact of pubertal status and timing on subsequent depression (i.e., tests of moderated mediation). Significant sex-moderated mediation was found for both pubertal status and timing. As indicated by moderate effect proportions, in girls, heightened peer stress partially mediated the longitudinal association between (a) more advanced pubertal status and depression; and (b) linear, but not curvilinear, pubertal timing (i.e., earlier maturation) and depression. This research contributes to our growing understanding of the interplay among physical, psychological, and social processes involved in the sex difference in adolescent depression.