Adolescent depression is a major concern for public health and is associated with negative consequences and outcomes. Identifying adolescent characteristics that might relate to the risk for developing depression is crucial. This study investigated bidirectional associations between coping strategies and depressive symptoms over time. The participants were 1,341 secondary school students from the Netherlands (X-bar = 13.91, SD = 0.55, 47.5% girls) who completed self-report questionnaires at six waves over 2.5 years. Cross-lagged models were used to investigate the associations between coping strategies and depressive symptoms. Coping strategies did not predict depressive symptoms over time. However, there was an indication of the reverse relationship. When adolescents experienced elevated depressive symptoms, they used fewer adaptive techniques to target stress. Gender differences were found in the use of avoidance. The inconsistencies of these findings with earlier studies are discussed and provide new directions for future research on working mechanisms underlying depression prevention programs.