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There is a sharp increase in depression in girls in mid-adolescence, but we do not understand why this occurs. Cognitive theories suggest that people with depression have more dysfunctional attitudes and negative biases in social information processing (perceiving, interpreting, and remembering their social environment). In my thesis, I tested the hypothesis that these negative cognitions contribute to the gender difference in depression during adolescence. I examined whether girls have more negative biases in social information processing and dysfunctional attitudes than boys, and whether biases are associated with depressive symptoms in early and mid-adolescence. I collected data from 331 young and 268 mid-adolescents (aged 11-13 and 13-15 years). In chapter 3, I tested whether learning about social evaluation differed across genders or age groups. I then developed and validated computational models of learning about social evaluation in chapter 4. In chapter 5, I tested whether recall biases were more negative in young and mid-adolescent girls and were associated with depressive symptoms. In these chapters, I found that negative biases in learning about social evaluation and recall were associated with increased depressive symptoms in young and mid-adolescents. There was no strong evidence for gender differences in social information processing. In chapter 6, I tested whether there were gender differences in different domains of dysfunctional attitudes. I found that perfectionism was associated with more severe depressive symptoms across adolescence and girls had higher perfectionism than boys in mid-adolescence. My findings suggest that social information processing is not more negatively biased in girls than boys during adolescence, although girls may have more perfectionism than boys. Negative biases in learning about social evaluation, recall of social evaluation, and perfectionism were associated with depressive symptoms from early adolescence. These negative biases may be a risk factor for depression and present a good candidate for future longitudinal studies.