Adolescence is a key period for studying the development of depression, with studies in Europe and North America showing a pattern of elevated risk that begins in early adolescence and continues to increase as adolescents age. Few studies have examined the course of adolescent depression and associated risk factors in low and middle-income countries. This longitudinal cohort study examined depression symptom trajectories and risk factors in a sample of socio-economically disadvantaged adolescents in Chile (n = 2,508). Data were collected over an 18-month period as part of a clinical trial for secondary students aged 12 to 18 (median age 14). Clinical levels of depression were prevalent in this sample at baseline (35% for girls and 28% for boys); yet latent growth models of symptom trajectories revealed a pattern of decreasing symptoms over time. There was evidence of an anxiety-depression developmental pathway for girls, with elevated anxiety levels initially predicting poorer depression outcomes later on. Poor problem-solving skills were associated with initial depression levels but did not predict the course of depressive symptoms. Critically, the declining symptom trajectories raise important methodological issues regarding the effects of repeated assessment in longitudinal studies.