Rejection sensitivity (RS), the tendency to expect, perceive and overreact to rejection from others, has been linked to children’s and adolescents’ increased vulnerability to depressive symptoms, negatively affecting their perceptions of the quality of their relationship with their peers. The aim of this study is to examine (a) the indirect effect of perceived peer social acceptance in the relationship between RS and depressive symptoms in a sample of Greek adolescents, (b) the differential effect of the different components of rejection sensitivity (angry and anxious RS) on the model, and (c) possible gender differences. The sample of the study consists of 295 adolescents (139 boys, 156 girls, Mage = 14.20, SD = 1.60) residing in the greater Heraklion Prefecture area. Data collection was carried out using self-report questionnaires that measured demographic characteristics, self-perceptions about their peer relationships (self-perception profile for adolescents/SPPA), susceptibility to rejection (children’s rejection sensitivity questionnaire/CRSQ), and depressive symptoms (children’s depression inventory/CDI). Results showed that (a) RS was positively related to depressive symptoms and negatively related to adolescents’ perceptions of their relationships, (b) relationship perceptions were negatively related to depressive symptoms, and gender differences were also found, (c) perceived social acceptance by peers was found to have an indirect effect in the relationship between RS and depressive symptoms, with girls showing a greater effect, and (d) differences were observed in the mediating model between the components of RS, with the mediating effect of perceptions being higher in the model with anxious RS, which appears to confirm previous theoretical postulations. The results of this study highlight the importance of adolescents’ perceptions of their peer relationships in the occurrence of depressive symptoms during this developmental period, especially in youths with anxious rejection sensitivity.