Transactional associations of emotional sensitivity and coping with peer rejection were tested, whereby coping was expected to be a manifestation of sensitivity but also a player in the development of sensitivity. Early adolescents (N = 711, grades 5–7) completed three repeated questionnaires over 14 months. Using structural equation modeling, emotional sensitivity was indicated by depressive symptoms, social anxiety symptoms, and rejection sensitivity. Transactional associations between sensitivity and coping were found, with adolescents higher in baseline sensitivity reporting more social avoidance and rumination over time and, conversely, adolescents higher in avoidance and rumination increasing in sensitivity over time. Participants' histories of peer victimization and exclusion were associated with greater emotional sensitivity and more use of most coping responses, but did not have temporal associations with sensitivity or coping and were not a moderator of associations. Sex differences in sensitivity and coping were found, but there was no moderation by participant sex.