This 12-month longitudinal study investigated the incidence of probable depression (i.e., changes in Center for Epidemiological Studies Depression Scale [CES-D] scores from < 16 at the baseline to ≥ 16 at the follow-up) and its psychosocial predictors among secondary 1–4 students (N = 9666) in Hong Kong, China. Of the 4100 non-probable depression participants (CES-D < 16) at baseline, data obtained from the baseline and longitudinal surveys of 3584 (87.4%) participants could be matched and were analyzed. The incidence of probable depression was 46.60 per 100 person-years. Adjusted for all background factors, negative life events, loneliness, and social anxiety were significant risk factors, while self-esteem, self-efficacy, positive affect, and family support were protective predictors of incident depression. Female sex was a risk factor but the interactions between sex and the psychosocial factors in determining incident probable depression were statistically non-significant, except for loneliness. The high incidence of probable depression calls for effective interventions on both sexes.