This study examines gender differences in the association between symptoms of depression and substance use during the transition from adolescence to young adulthood. Data are from three waves of the US-based National Longitudinal Study of Adolescent Health (n=10,828). Results from latent growth curve analysis demonstrate that the association between depressive symptomatology and substance use is bi-directional. Adolescents who are initially more depressed begin the study period with substantially higher levels of substance use than their better-adjusted peers, yet they are less vulnerable to increases in smoking (girls only), binge drinking (girls and boys), and illicit drug use (girls only) across the transition to young adulthood. Also, adolescents who start out with higher than average cigarette, alcohol, and illicit drug use experience a faster rate of decline in symptoms of depression over time compared to those who start out with lower levels of substance use. This association appears to be more pronounced for girls than for boys. Despite their faster rate of decline in depressive symptoms, girls and boys who have higher initial levels of substance use report higher levels of depressive symptomatology at all three time points.