This exploratory study aimed to explore the association between depression and self-harming behaviour in adolescence and the timing of diagnosis for autism spectrum disorder. We analysed data on 11,320 14 year olds, including 396 children with autism spectrum disorder, from the UK Millennium Cohort Study. Exposures were the timing of diagnosis for autism spectrum disorder confirmed by parental report at ages 5, 7, 11 and 14. Outcomes were depression measured by the Short Mood and Feelings Questionnaire (scores [greater than or equal to] 12) and self-report of self-harming behaviour, both assessed at age 14. Data were analysed using multivariable regression analysis. 91% of the autism spectrum disorder group had within-typical-range cognitive ability. After adjusting for child and family confounders, there was a positive linear trend between diagnostic age and depression, with children diagnosed between ages 7 and 11 and children diagnosed after age 11 showing increased symptoms (odds ratio=2.21 and 3.58, respectively). A similar trend was observed for self-harming behaviour, with children diagnosed after age 11 showing the strongest association (odds ratio=3.16). These results suggest the importance of earlier diagnosis in preventing secondary mental health problems in this population, particularly among those without cognitive delays. Further studies replicating across a wider intellectual spectrum and clarifying the underlying mechanism are warranted.