Child sexual abuse (CSA) is a notable risk factor for depressive disorders. Though multiply determined, increased sensitivity to stress (stress sensitization) and difficulty managing distress (emotion regulation) may reflect two pathways by which CSA confers depression risk. However, it remains unclear whether stress sensitization and emotion regulation deficits contribute to depression risk independently or in a sequential manner. That is, the frequent use of maladaptive emotion regulation responses and insufficient use of those that attenuate distress (adaptive emotion regulation) may lead to stress sensitization. We tested competing models of CSA, stress sensitization, and emotion regulation to predict depression symptoms and depressive affects in daily life among adults with and without histories of CSA. Results supported a sequential mediation: CSA predicted greater maladaptive repertoires that, in turn, exacerbated the effects of stress on depression symptoms. Maladaptive responses also exacerbated the effects of daily life stress on contemporaneous negative affect (NA) levels and their increase over time. Independent of stress sensitization, emotion regulation deficits also mediated CSA effects on both depressive outcomes, though the effect of maladaptive strategies was specific to NA, and adaptive responses to positive affect. Our findings suggest that emotion regulation deficits and stress sensitization play key intervening roles between CSA and risk for depression.