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The present study aims at identifying predisposing and protective factors for the purpose of showing their respective contribution and interaction for adolescents’ stress disorders and depressive states, and to find key attributes for the identification of pupils at risk in a normal population of adolescents. The study was performed with 211 high-school pupils over a period of 18 months. The results are reported from the pupils participating in 4 consecutive administrations of the instruments (N = 115). The following instruments were used: “Kutcher Adolescent Depression Scale”, “Stress”, “Helplessness”, “Hopelessness”, “Uppsala Sleep inventory”, “Barratt’s Impulsiveness Scale”, “Positive Affect and Negative Affect Scale”, “Life Orientation Test”, “General Self-Efficacy”, “Locus of Control”, “Situational Intrinsic Motivational Scale”. The Positive Affect and Negative Affect Scale were also used to categorize participants into four affective profiles: “self-fulfilling”, high affective”, “low affective” and “self-destructive”. Linear regression analyses showed that situational depression (hopelessness) was predicted by depressive. Negative affect predicted stress, which in turn predicted general and situational depressiveness. General self-efficacy, positive affect and Identified regulation were found to be protective factors to both general and situational depressiveness. Depressiveness was found to be linked to the “self-destructive” affective personality type. “Negative affect” and distractiveness are suggested as markers for pupils at risk, whereas positive affect, self-efficacy and identified regulation appear to have protecting roles.