This paper examines gender socialization processes during childhood that may contribute to a higher incidence of depression or depressive symptoms in females than in males. It is argued that because of the actions of socialization agents and the impact of gender stereotypes on a child's construction of gender identity, girls may exhibit higher levels of self-evaluative concerns that increase vulnerability to depression. Indeed, a review of the literature on sex differences in self-evaluation suggests that girls may be more susceptible than boys to self-evaluative concerns, particularly as reflected in lower expectations for future success, more maladaptive causal attributions for success or failure outcomes, and negative behavioral and evaluative reactions to failure. Moreover, an examination of the literature on sex differences in depressive symptoms leads to questions about previous conclusions that girls do not exhibit higher levels of depressive symptoms prior to adolescence. Finally, we present some recent original data that support the contention that sex differences in vulnerability to depression may be evident prior to adolescence.