Ethnic socialization and ethnic identity have been related to positive outcomes, but little research has examined these associations longitudinally. This three-wave study prospectively linked socialization messages at Time 1, ethnic identity and American identity at Time 2, and self-esteem and depressive symptoms at Time 3 in 147 (58% female; 25% first-generation) Asian-American adolescents. The results indicated positive links between cultural socialization messages and ethnic and American identity, though the latter association was significant only for females. Ethnic identity was positively related to self-esteem, and mediated the positive effect of cultural socialization on self-esteem. The promotion of mistrust was positively linked to self-esteem and negatively related to ethnic identity, though this latter association was significant for foreign-born youth only. Our findings highlight the importance of elucidating prospective links in identity development, and examining gender and generational differences within them.