The prevalence, recurrence, and incidence of depression in adolescence and young adulthood are substantial for both males and females. In this study, we examined social setting variables that influence depression in males and females from adolescence to young adulthood. Rather than focusing on single ecological factors, we examined multiple settings including families, peers, and neighborhoods using longitudinal data from 372 families living in a large eastern urban area. We found that variables related to depression differed for males and females depending on the developmental period being examined. Family and peer variables in adolescence were significantly related to change in depression during the transition to adulthood for males, whereas family and neighborhood variables were marginally significant for females. Family and neighborhood variables in adulthood were significantly related to change in depression for females, and peer variables were significant for both males and females. Overall, contextual variables in adolescence had a more significant impact on change in depression for males, whereas contemporary variables in young adulthood had a more significant impact on change in depression for females.