Drawing on the racial discrimination and emotion literatures, this study examined the association between stigma sensitivity (the extent to which one anticipates being stereotyped or discriminated against based on race) and emotional inertia (the degree to which one’s affect is resistant to change over time), and how each contributed to depressive symptoms. First-year Asian American undergraduate students (N = 152) completed a baseline questionnaire that included measures of race-based stigma consciousness and depressive symptoms as well as daily diary reports of their affect. Multilevel analysis showed that higher levels of stigma sensitivity were associated with greater inertia of negative affect. Regression analysis showed that stigma sensitivity and emotional inertia each independently predicted depressive symptoms, such that individuals who expected more discrimination, and those who experienced more carryover of negative affect from one day to the next, reported more depressive symptoms. These results demonstrate the importance of studying the unique roles of stigma sensitivity and emotional inertia in depression among Asian American youth.