Background Despite growing interest in depression in young children, little is known about which variables predict the onset of depression in early childhood. We examined a range of predictors of the onset of depression diagnoses in a multi‐method, multi‐informant longitudinal study of a large community sample of young children from ages 3 to 6. Methods Predictors of the onset of depression at age 6 were drawn from five domains assessed when children were 3 years old: child psychopathology (assessed using a parent diagnostic interview), observed child temperament, teacher ratings of peer functioning, parental psychopathology (assessed using a diagnostic interview), and psychosocial environment (observed parental hostility, parent‐reported family stressors, parental education). Results A number of variables predicted the onset of depression by age 6, including child history of anxiety disorders, child temperamental low inhibitory control, poor peer functioning, parental history of mood, anxiety, and substance use disorders, early and recent stressful life events, and less parental education. Conclusions Predictors of the onset of depression in early childhood tend to be similar to those identified in older youth and adults, and support the feasibility of identifying children in greatest need for early intervention.