Depressive symptoms have been related to anxious rejection sensitivity, but little is known about relations with angry rejection sensitivity and justice sensitivity. We measured rejection sensitivity, justice sensitivity, and depressive symptoms in 1,665 9-to-21-year olds at two points of measurement. Participants with high T1 levels of depressive symptoms reported higher anxious and angry rejection sensitivity and higher justice sensitivity than controls at T1 and T2. T1 rejection, but not justice sensitivity predicted T2 depressive symptoms; high victim justice sensitivity, however, added to the stabilization of depressive symptoms. T1 depressive symptoms positively predicted T2 anxious and angry rejection and victim justice sensitivity. Hence, sensitivity toward negative social cues may be cause and consequence of depressive symptoms and requires consideration in cognitive-behavioral treatment of depression.