Studies on depression risk emphasize the importance of both cognitive and genetic vulnerability factors. The present study has provided the first examination of whether working memory capacity, the BDNF Val66Met polymorphism, and their interaction predict changes in symptoms of depression during the transition to university. Early in the semester, students completed a self-report measure of depressive symptoms and a modified version of the reading span task to assess working memory capacity in the presence of both neutral and negative distractors. Whole blood was genotyped for the BDNF Val66Met polymorphism. Students returned at the end of the semester to complete additional self-report questionnaires. Neither working memory capacity nor the BDNF Val66Met polymorphism predicted change in depressive symptoms either independently or in interaction with self-reported semester difficulty. The BDNF Val66Met polymorphism, however, moderated the association between working memory capacity and symptom change. Among met carriers, lower working memory capacity in the presence of negative-but not neutral-distractors was associated with increased symptoms of depression over the semester. For the val/val group, working memory capacity did not predict symptom change. These findings contribute directly to biological and cognitive models of depression and highlight the importance of examining Gene × Cognition interactions when investigating risk for depression.