Peer discrimination and parent–adolescent conflict in early adolescence were examined as predictors of depressive symptoms and risky behaviors from early to late adolescence using four waves of data over an 8‐year period from a sample of 246 Mexican‐origin adolescents (MTime 1 age = 12.55, SD = 0.58; 51% female). The buffering effect of friendship intimacy and moderating role of adolescent gender were tested. Higher levels of discrimination and conflict in early adolescence were associated with higher initial levels of depressive symptoms and risky behaviors in early adolescence and stability through late adolescence. For females who reported higher than average discrimination, friendship intimacy had a protective effect on their depressive symptoms.