The objective of the present study is to test the validity of the integrated cognitive model of depression proposed by Kwon and Oei (1994) with a Chinese adolescent sample. A two-wave panel design was used. We hypothesized that the interaction between dysfunctional attitudes measured at time 1 and adolescents' negative life events experienced between times 1 and 2 would predict changes in the frequency of automatic thoughts between times 1 and 2. We further hypothesized that changes in the frequency of automatic thoughts would, in turn, predict changes in the severity of depressive symptoms. Participants were 329 Chinese adolescents. As a comparison, we tested three other competing models: linear mediation, alternative aetiologies and symptom models. All participants completed the Adolescent Self-Rating Life Events Checklist, Dysfunctional Attitudes Scale, Automatic Thoughts Questionnaire and Center for Epidemiological Studies Depression Scale on two occasions—5 months apart. Path analysis was used to test all models. Results of the path analysis indicated that the integrated cognitive model showed an adequate fit for the Chinese adolescent data. During phases of increased depression, dysfunctional attitudes were common cognitive moderators of depression, whereas automatic thoughts were specific cognitive mediators of depression. Copyright © 2013 John Wiley & Sons, Ltd.