Based on current theories of depression, reciprocal links between loneliness and depressive symptoms are expected to occur. However, longitudinal studies on adolescent samples are scarce and have yielded conflicting results. The present five-wave longitudinal study from mid- to late adolescence (N = 428, M age at T1 = 15.22 years; 47% female) examined the direction of effect between loneliness and depressive symptoms, using cross-lagged path analysis. In addition, the robustness of these prospective associations was tested by examining the role of the Big Five personality traits (i.e., extraversion, conscientiousness, agreeableness, neuroticism, and openness) as explaining factors and moderators. Results indicated that loneliness and depressive symptoms influenced one another reciprocally, and these reciprocal associations were not attributable to their mutual overlap with personality traits. In addition, neuroticism was found to be a moderator, in that the bidirectional effects between loneliness and depressive symptoms were only found in adolescents high in neuroticism. Practical implications are discussed, and suggestions for future research are outlined.