Female adolescents are more prone to depression compared with male adolescents, and depression is often associated with poor attentional control and problematic internet use (PIU). Attentional control includes both focusing and shifting functions. Focusing refers to the ability to direct attention to a task despite distractions. Shifting refers to the ability to flexibly switch attention between different tasks. This study examines the mediating role of attentional focusing and shifting between depression and PIU. Female high school and college students (n = 476) in Taiwan participated in a survey administered at three time points over a seven-month period. The single- and two- mediator models examined their joint mediation effects. The results showed that the direct effect of depression on PIU was significant. The indirect effects also showed that attentional focusing was a negative partial mediator in the relationship between depression and PIU, while attentional shifting was not one. Informed by attentional theory and digital emotion regulation, addressing depression to mitigate its negative impact on attentional control and negative emotions is crucial. The potential impact, whether harmful or beneficial, of adolescents carefully selecting their online activities to reduce the risk of PIU remains contentious. Given the focus on Taiwanese adolescent girls during the COVID-19 pandemic, further research is needed to extend the applicability of the theory to other periods without being affected by COVID-19.