Emotion regulation habits have long been implicated in risk for depression. However, research in this area traditionally adopts an approach that ignores the multifaceted nature of emotion regulation strategies, the clinical heterogeneity of depression, and potential differential relations between emotion regulation features and individual symptoms. To address limitations associated with the dominant aggregate-level approach, this study aimed to identify which features of key emotion regulation strategies are most predictive and when those features are most predictive of individual symptoms of depression across different time lags. Leveraging novel developments in the field of machine learning, artificial neural network models with feature selection were estimated using data from 460 participants who participated in a 20-wave longitudinal study with weekly assessments. At each wave, participants completed measures of repetitive negative thinking, positive reappraisal, perceived stress, and depression symptoms. Results revealed that specific features of repetitive negative thinking (wondering “why cannot I get going?” and having thoughts or images about feelings of loneliness) and positive reappraisal (looking for positive sides) were important indicators for detecting various depressive symptoms, above and beyond perceived stress. These features had overlapping and unique predictive relations with individual cognitive, affective, and somatic symptoms. Examining temporal fluctuations in the predictive utility, results showed that the utility of these emotion regulation features was stable over time. These findings illuminate potential pathways through which emotion regulation features may confer risk for depression and help to identify actionable targets for its prevention and treatment.