Using exploratory and confirmatory factor analyses, the aims were (a) to obtain, describe, and compare different solutions of three, five, and six first-order factors raised in the previous literature about the Children's Depression Inventory (CDI); (b) analyze the number and nature of the second-order factors; (c) test which model best reproduces the CDI structure; and (d) test possible developmental differences between child and adolescent samples. The CDI was applied to 4,707 Spanish children and adolescents with an age range between 7 and 16 years. Results show that best models considered five or six factors, including Social Problems (Anhedonia), Negative Affect, Externalizing, School Problems, and Negative Self-Esteem (Self-Deprecation). Also, a factor of Biological Dysregulation obtained some support. Higher-order factors do not reproduce the classical distinction between internalizing and externalizing symptoms. Finally, no large developmental differences in the CDI structure were found between children and adolescents samples.