Young people are navigating an increasingly uncertain and unstable social and economic environment, further complicated by COVID-19. Individual resources and vulnerabilities, such as mental health and sensitivity to stress, play a significant role in how well youth adapt to the career paths and living conditions altered by the pandemic, a dynamic that is not yet well understood. This study examined the role of COVID-19 on the intertwined relation between perceived stress and depressiveness (negative and positive affect) in adolescents, focusing on gender differences. Longitudinal data from 673 German adolescents (Mage = 16.8 years, SDage = 0.91; female = 59%) were collected in three waves, before (T1) and during the pandemic (T2, T3). Using Latent Change Score models, the bidirectional relation between perceived stress and depressiveness was analyzed, considering gender as a moderator. The results showed that adolescents who found their situation stressful were at risk of developing depressiveness at the outbreak of the pandemic and throughout its progression. As the pandemic progressed, an increase in positive affect was linked to heightened perceived stress. Gender-specific differences were particularly evident in the levels of perceived stress and depressiveness, with women being more vulnerable. This study highlights how vulnerabilities in stress perception affect adolescents' mental health, with gender-specific differences underscoring the need for tailored mental health measures.