Depressive symptoms and alcohol misuse contribute substantially to the global health burden. These phenotypes often manifest, and frequently co-occur, during adolescence. However, few studies have examined whether both baseline levels of depressive symptoms and change in symptoms are associated with alcohol outcomes. In addition, inconsistent findings could be due to sex differences or the use of different alcohol outcomes. Using data from a prospective population-based cohort in the UK, we estimated trajectories of depressive symptoms from 12 years 10 months to 17 years 10 months, separately for male and female participants. We assessed whether baseline and change in depressive symptoms were associated with use and harmful use of alcohol at 18 years 8 months. Among females, increasing depressive symptoms were associated with increased alcohol use; whilst for males, there was little evidence of this. When examining harmful levels of alcohol use, baseline levels of depressive symptoms in males were weakly related to later harmful alcohol use but this association was attenuated substantially through adjustment for confounders. In contrast, both baseline symptoms and increase in symptoms were associated with later harmful alcohol use in females and these associations were not diminished by confounder adjustment. Elevated depressive symptoms during adolescence are positively associated with increases in both use and harmful use of alcohol at 18 years 8 months. These findings differ between the sexes. Further research is needed to examine the mechanisms underlying the link between depressive symptoms and harmful alcohol use to identify potentially modifiable factors for intervention.