This longitudinal study used a representative community sample of same-sex twins (485 monozygotic pairs, 271 dizygotic pairs) to study longitudinal changes in genetic and environmental influences on nicotine dependence (NicD) symptoms and major depressive disorder (MDD) symptoms and the longitudinal relationships between NicD and MDD symptoms at three relatively discrete ages spanning middle adolescence to early adulthood (ages 15, 18, and 21). Clinical interviews were used to assess NicD and MDD symptoms lifetime at age 15 and during the previous 3 years at the two subsequent assessments. Biometric models revealed similar patterns of findings for NicD and MDD. Heritability increased with age, particularly between ages 15 and 18. Shared environmental influences were small, and the proportion of variance attributed to shared environmental influences decreased with age. Nonshared environmental influences were moderate to large in magnitude and were entirely age specific. Both NicD and MDD symptoms showed considerable stability from age 15 to 21, and at each age those with one disorder showed elevated rates of the other. However, a cross-lagged model revealed no longitudinal predictive relationships between MDD symptoms and NicD symptoms after accounting for stability of symptoms within disorders. In summary, the transition between middle and late adolescence is a critical period for developmental shifts in the magnitudes of genetic and environmental influences on both MDD and NicD symptoms. Despite similarities in the development of genetic and environmental influences for the two phenotypes, the association between NicD and MDD reflects concurrent covariation rather than one phenotype being an antecedent influence on the subsequent development of the other.