While symptoms of stress are a major risk factor in the onset of depressive symptoms and major depression, a better understanding of intervening mechanisms in breaking down this positive association is urgently required. It is within this literature that we investigate (1) how symptoms of stress are associated with depressive symptoms and the onset of major depression, and (2) the buffering effect of hours spent on voluntary work on the stress-depression relationship. Using 3-wave longitudinal data, we estimated a direct and reverse auto-regressive path model. We found both cross-sectional and longitudinal support for the positive association between symptoms of stress and depressive symptoms. Next, we found that individuals who experienced more symptoms of stress at T1, T2, and T3 were 1.64 (95%CI [1.46;1.91]), 1.49 (95%CI [1.24;1.74]), and 1.40 (95%CI [1.21;1.60]) times more likely to be prescribed an anti-depression treatment at T3, respectively. Moreover, we found that the number of hours spent volunteering mitigated the (1) longitudinal—but not cross-sectional—stress-depression relationship, and (2) cross-sectional—but not the longitudinal—association between symptoms of stress at T3 and the likelihood of being prescribed an anti-depression treatment. These results point toward the pivotal role of voluntary work in reducing the development of depressive symptoms and major depression in relation to the experience of symptoms of stress.