It is unclear whether impaired cognition is a risk factor for depression or a consequence of depression, or whether both depression and impaired cognition are caused by a third underlying process (e.g., stress). These three hypotheses were tested in 523 adolescents assessed annually for depression, attentional functioning, and childhood/recent life stress. Baseline switching, sustained, and selective attention did not predict first onset of depression or depressive symptoms. Divided attention predicted depressive symptoms only. Piecewise growth modeling indicated that the trajectory of switching attention declined prior to first onset of depression; there was evidence of significant recovery in switching attention following first onset of depression. Structural equation modeling indicated that impaired switching attention prospectively predicted higher depressive symptoms and that higher depressive symptoms predicted worse selective and switching attention. Further, childhood stress prospectively predicted higher depressive symptoms via switching attention and worse switching attention via depressive symptoms.