The aim of our study was to verify relationships between individual difficulties in emotion regulation (ER), ER strategies (cognitive reappraisal and expressive suppression), and compassion (to self and others) with the presence of depressive symptomatology in a sample of Slovak adolescents during the second wave of the COVID-19 pandemic. In the sample of 140 Slovak adolescents (age between 17–19 years) was administrated The Beck Depression Inventory- II. (Beck et al., 1996), The Overall Depression Severity and Impairment Scale (Bentley et al., 2014), The Emotion Regulation Questionnaire (Gross & John, 2003), The Difficulties in Emotion Regulation Scale (Gratz & Roemer, 2004), The Sussex-Oxford Compassion for the Self Scale and The Sussex-Oxford Compassion for Others Scale (Gu et al., 2019). Results revealed that difficulties in ER (all subscales) and expressive suppression were in positive relationships with depression symptoms. Cognitive reappraisal and self-compassion were in negative relationships with depression symptoms. Lack of ER strategies and cognitive reappraisal (inversely) were the strongest predictors of depressive symptoms. These findings suggest that ER strategies (mainly cognitive reappraisal) could be assumed as protective factors in adolescent depression symptoms development in stressful circumstances of the COVID-19 pandemic.