Adolescents who hold an entity theory of personality – the belief that people cannot change – are more likely to report internalizing symptoms during the socially stressful transition to high school. It has been puzzling, however, why a cognitive belief about the potential for change predicts symptoms of an affective disorder. The present research integrated three models – implicit theories, hopelessness theories of depression, and the biopsychosocial model of challenge and threat – to shed light on this issue. Study 1 replicated the link between an entity theory and internalizing symptoms by synthesizing multiple datasets (N = 6,910). Study 2 examined potential mechanisms underlying this link using 8-month longitudinal data and 10-day diary reports during the stressful first year of high school (N = 533, 3,199 daily reports). The results showed that an entity theory of personality predicted increases in internalizing symptoms through tendencies to make fixed trait causal attributions about the self and maladaptive (i.e., “threat”) stress appraisals. The findings support an integrative model whereby situation-general beliefs accumulate negative consequences for psychopathology via situation-specific attributions and appraisals.