The association between Sensory Processing Features (SPF) and depressive symptoms was investigated at two levels in 150 young males (6–18 years) with an ASD. First, a significant correlation was found between SPF and total depressive symptom scores. Second, different aspects of SPF significantly predicted different depressive symptom factors, with Low Registration (or sensory hyposensitivity) being the most powerful predictor of depressive symptoms. There were also differences in these associations according to whether parents’ ratings or the boys’ self-reports were used to assess SPF and depressive symptoms. Implications for assessment and treatment of SPF-related depressive symptoms are discussed.