Cognitive theory is a prominent framework to study depression in both adults and adolescents. This theory stated that dysfunctional schemas are moderators (known as diathesis) in the association of current stress and psychopathology. However, in adolescents, less evidence has been found so far to corroborate the importance of these schemas. This study aimed to investigate in a cross‐sectional design the moderating role of adolescents' early maladaptive schemas (EMS) on depressive symptoms. This will be studied in relation to both important daily stressors (i.e., maternal, paternal and peer rejection) and stressful life events. METHOD Adolescents (N = 228, age 12–18 years), selected from inpatient and outpatient clinical settings and a non‐referred sample, completed questionnaires and interviews measuring psychopathology, cognitive schemas, peer rejection, maternal and paternal rejection, and stressful life events. Parents completed questionnaires about their adolescent measuring psychopathology, stressful life events and peer rejection, as well as their own parental behaviour. RESULTS Correlational analyses revealed significant associations between the study variables. Evidence was found for an interaction effect between the adolescents' EMS and peer rejection in explaining depressive symptoms, but only in late adolescents. Copyright © 2012 John Wiley & Sons, Ltd. Key Practitioner Message Stress induced by maternal and, in lesser extent, paternal rejection is contributing to depressive symptoms primarily in younger and to lesser extent in older age groups. The quality of peer relationships becomes an increasingly salient source of distress as adolescence unfolds and is certainly an important mechanism affecting depression in adolescence. Maladaptive schemas only start functioning as a cognitive diathesis in late adolescence, increasing depression in response to peer‐related distress. Since maladaptive schemas are not yet operating as cognitive vulnerability factors in early and middle adolescence, early interventions for depressive disorders may be more effective compared with treatment in later adolescence.