This prospective research analyzed how different facets of perceived self-efficacy operate in concert within a network of sociocognitive influences in childhood depression. Perceived social and academic inefficacy contributed to concurrent and subsequent depression both directly and through their impact on academic achievement, prosocialness, and problem behaviors. In the shorter run, children were depressed over beliefs in their academic inefficacy rather than over their actual academic performances. In the longer run, the impact of a low sense of academic efficacy on depression was mediated through academic achievement, problem behavior, and prior depression. Perceived social inefficacy had a heavier impact on depression in girls than in boys in the longer term. Depression was also more strongly linked over time for girls than for boys.