We used diathesis‐stress and stress‐sensitization models to determine whether family maltreatment, street‐related traumatic events, stressful life events, and substance use were associated with depressive symptoms in runaway and homeless youths (RHY) in Los Angeles. Greater severity of depressive symptoms was significantly related to family maltreatment, being exposed to more traumatic stressors during homelessness, and current substance use compared to no substance use. Family maltreatment was also found to moderate the relationship between traumatic stressors and depressive symptoms. Importantly, cumulative exposure to the investigated risk factors at varying levels was associated with more severe depressive symptoms. Using a trauma‐informed approach to screen for RHY at risk of depression may pave the way for secondary prevention of major depression in RHY.