This study aimed to elaborate on theoretical model of the perceptions, feelings, and meanings of early stress for people with depression. To perform a qualitative study based on the Symbolic Interactionism and Grounded Theory, we interviewed 12 patients diagnosed with depression. It was structured a model based on "walking between traumatic childhood and the adult life with depression," integrating eight inter-articulated categories that represent the perceptions, feelings, and meanings of the experiences of the depressed individual with a history of early stress. The theoretical model constructed meanings and conditions that affect the individual from a traumatic childhood to depression in adulthood.