Sex differences in depression emerge in adolescence, in concert with puberty. Off-time maturers, especially early-maturing girls, report more depressive symptoms than their same-sex peers. Recent evidence shows that these pubertal timing effects persist into adulthood, but the underlying mechanisms are unclear. Participants were 318 young adults (201 women, 117 men) who rated their depressive symptoms in the past 2 weeks and provided valid retrospective reports of their pubertal timing. Controlling for age, regression analyses were used to examine effects of sex, linear and quadratic pubertal timing, and their interaction on depressive symptoms. (Non)linear indirect effects analyses were used to identify psychological mechanisms (self-perceived masculinity, positive affect, and negative affect) underlying persisting effects, separately for men and women. For young men, pubertal timing effects on depression were linear, with later maturers reporting more symptoms. Effects were partially explained by late maturers' low self-perceptions of masculinity and low positive affect. For young women, pubertal timing effects on depression were quadratic, with early and late maturers reporting more symptoms than on-time maturers. Effects were partially explained by off-time maturers' high negative affect. Pubertal timing is related to adult depressive symptoms, but the nature of the link and the mechanisms underlying it differ for men and women. This increases understanding of the long-term consequences of gendered adolescent experiences and may have downstream implications for individualized prevention and intervention through gender-related individual differences that contribute to heterogeneity in depression etiology.