School connectedness and classroom environment have both been strongly linked to depressive symptoms, but their interrelation is unclear. We tested whether school connectedness mediated the link between classroom environment and depressive symptoms. A sample of 504 Australian seventh‐ and eighth‐grade students completed the Classroom Environment Scale, Psychological Sense of School Membership scale, and Children's Depression Inventory, at three time points. Together, the classroom environment and school connectedness accounted for 41% to 45% of variance in concurrent depressive symptoms, and 14% of subsequent depressive symptoms with prior symptoms accounted for. Only a partial mediation was found, with both classroom environment and school connectedness continuing to contribute uniquely to the prediction of concurrent and subsequent depressive symptoms. These findings provide additional support for the idea that school‐based pathways to depressive symptoms are a complex interplay between environment and individual difference variables, necessitating individual and environmental school‐based interventions.