To explicate the nature of the relationship between depressive symptoms and substance use, the authors conducted research that incorporated both individual and group approaches and utilized longitudinal data across development. Multiple-group latent growth curve models were used to assess specific dimensions (cross-sectional and longitudinal correlation, within-individual change, and movement off developmental trajectories) of the relationship between depressive symptoms and substance use during adolescence and how this relationship differs by gender. Annual survey data from 8th through 11th grade were provided by 441 girls and 510 boys in the Raising Healthy Children project (E. C. Brown, R. F. Catalano, C. B. Fleming, K. P. Haggerty, & R. D. Abbott, 2005). Levels of depressive symptoms and substance use in early adolescence were positively associated for alcohol, marijuana, and cigarette use for girls, but only for marijuana use for boys. Individual changes in depressive symptoms and substance use across adolescence were positively associated for each type of substance use. Evidence was also found for positive association between episodic expressions of depressive symptoms and alcohol use that fell outside developmental trajectories. Predictive relationships across constructs were not found, with the exception of higher level of depressive symptoms in early adolescence predicting less increase in alcohol use.