The relationship between daily stress, depression and self-mastery, and the role of self-mastery as a moderator were studied among adolescents (N = 186). Findings were as follows: (1) daily stress was positively correlated with depression, whereas self-master was negatively correlated with depression; (2) items which caused most stress to participants were related to study and peer pressure; (3) self-mastery moderated and buffered the effect of stress on depression, in particular daily stress related to the areas of study and school. Adolescents with high levels of selfmastery were significantly less likely to report symptoms of depression with increasing levels of daily stress, compared to adolescents reporting low levels of self-mastery. Granting limitations imposed by the convenience sample, the study supports the role of theoretical buffering for self-mastery in the context of stress processes, and suggests the need for developing self-mastery of adolescents by implementing empowerment models.