--- - |2 This study examined the temporal relation between self‐competence (academic, social, athletic, physical appearance, and close friend) and depressive symptoms in a large, diverse community sample of 636 adolescents. Surveys were administered to all 10th‐ and 11th‐grade students at participating high schools at baseline (mean age = 16.10, SD = .71) and 1 year later. Girls reported higher levels of self‐competence in close friendships and more depressive symptoms, whereas boys reported higher levels of self‐competence in athletics and physical appearance. However, there were no gender differences in the associations between self‐competence and depressive symptoms. Results from autoregressive, cross‐lagged path analyses indicated that depressive symptoms predicted self‐competence more consistently than self‐competence predicted depressive symptoms during middle–late adolescence. Implications for prevention are discussed. - Journal of Research on Adolescence, EarlyView.