Background: Little is known about the role of oppositional defiant disorder (ODD) dimensions on the temporal unfolding of conduct disorder (CD) and depression in girls between childhood and adolescence. Method: The year-to-year associations between CD and depressive symptomatology were examined using nine waves of annually collected data (ages 8 through 16 years) from 1215 participants of the Pittsburgh Girls Study. A series of autoregressive path models were tested that included ODD-Emotion Dysregulation (ODD-ED) and ODD-Defiance, as time-varying covariates on CD predicting depression severity in the following year, and vice versa. Results: Conduct problems, depression, and ODD dimensions were relatively stable throughout childhood and adolescence, and a moderate degree of covariance was observed between these variables. Path analyses showed that CD often preceded depression across this developmental period, although the effect sizes were small. There was less consistent prediction from depression to CD. The overlap between ODD-ED and CD partially explained the prospective relations from CD to depression, whereas these paths were fully explained by the overlap between ODD-ED and depression. The overlap between ODD-Defiance and CD did not account for the prospective relations from CD to depression. In contrast, the overlap between ODD-Defiance and depression accounted for virtually all paths from CD to depression. Accounting for the overlap between ODD dimensions and both CD and depression eliminated all significant predictive paths. Conclusions: Symptoms of CD tend to precede depression in girls during childhood and adolescence. However, covariance between depression and both ODD-ED and ODD-Defiance accounts for these prospective relations. ODD dimensions should be assessed when evaluating risk for comorbid depression in girls with conduct problems, and emotion dysregulation and defiance aspects of ODD should be identified as targets for treatment in order to prevent depression in the future.