According to the self‐determination theory, experiencing autonomy support in close relationships is thought to promote adolescents' well‐being. Perceptions of autonomy support from parents and from best friends have been associated with lower levels of adolescents' depressive symptoms. This longitudinal study examines the relative contribution of perceived autonomy support from parents and best friends in relation to adolescents' depressive symptoms and changes in these associations from early to late adolescence. Age and gender differences were also investigated. Questionnaires about mother, father, and a best friend were filled out by 923 early adolescents and 390 middle adolescents during five consecutive years, thereby covering an age range from 12 to 20. Multi‐group cross‐lagged path analysis revealed concurrent and longitudinal negative associations between perceived parental autonomy support and adolescents' depressive symptoms. No concurrent and longitudinal associations were found between perceived best friends' autonomy support and adolescents' depressive symptoms. Results were similar for early and middle adolescent boys and girls. Prevention and treatment programs should focus on the bidirectional interplay during adolescence between perceptions of parental autonomy support and adolescents' depressive symptoms.