Background: The review of the literature on potential predictors of depressive symptoms has shown that traumatic experiences during childhood, experiences of shame, and gender have a relevant contribution. Aim: This study aimed to observe the intra-individual variability of shame, traumatic events, and gender and to test the predictive power of these variables in the evolution of depressive symptoms (dependent variable) at six months, in adolescents. Method: The sample consisted of 325 adolescents, aged between 12 and 18 years old, distributed in the center of Portugal and attending the secondary/high school. The Children's Depression Inventory, the Brief Scale of Shame, and the Childhood Trauma Questionnaire were used to assess the listed variables. Longitudinal results were analyzed by multiple linear regression analysis. Results: There was a positive association between experiences reported as traumatic and perceptions of shame (T1) and depressive symptoms (T2, after six months). The multiple linear regression model explained 63% of the depressive symptoms' variance at T2, and belonging to the female gender, the experience of shame and perceived events of emotional and sexual abuse, as emotional neglect (variables of the trauma) seems to predict depressive symptoms in adolescence. Conclusions: Given that there is some evidence of the impact of traumatic events of childhood abuse/neglect, and perceptions of shame during adolescence on the evolution of depressive symptoms, it is relevant that these variables are considered in the assessment and in the psychotherapeutic interventions at this stage of human development. This study contributes to highlight the role of vulnerability factors for the depressive symptoms in adolescence.