The present 9‐wave, 2‐year study examined whether Cole's (1991) theory of self‐perceived competence could help explain vulnerability to depressive and anxiety symptoms in a sample of adolescents from mainland China. Participants included 624 adolescents (319 females and 305 males) from an urban school in Changsha (n = 308) and from a rural school in Liuyang (n = 316). Findings showed that self‐perceived academic competence was negatively associated with prospective depressive and anxiety symptoms. Meanwhile, adolescents with low levels of self‐perceived social competence were at heightened risk for depressive symptoms during times of increased stressors (supporting a vulnerability‐stress model). These findings advance past research by highlighting new developmental pathways for depressive and anxiety symptoms in Chinese adolescents.