This study investigated the mediating role of perceived stress in the relationship between perceived emotional intelligence and depressive symptoms in adolescence. A total of 661 high school Spanish students participated in the study. The analyses indicated that the effects of each of the perceived emotional intelligence sub-scales (namely, Attention, Clarity and Repair) on depressive symptomatology were partially mediated by perceived stress. Specifically, the mediating effect was negative for Clarity and Repair, but positive for attention. The analysis also showed that the direct effects were positive for all sub-scales. These results suggest that the promotion of stress management skills may be core in the development of prevention and treatment programs for depression in adolescents, and possibly more beneficial than the promotion of emotion regulation skills. Our findings, along with previous evidence, suggest that emotional attention, as measured in the present study, may be targeting a pathological type of attention.