Background: This study examined the temporal comorbidity of depressive disorders with anxiety, externalizing, and substance use disorders in adolescents who varied in risk for depression. Methods: Participants were 240 adolescents and their mothers who had either a history of depression (high-risk, n = 185) or were lifetime-free of psychiatric disorders (low-risk, n = 55). Children (54.2% females) were first evaluated in 6th grade (mean age = 11.86, SD = 0.57) with the K-SADS-PL to assess current and lifetime diagnoses, and then annually through 12th grade with the A-LIFE to assess diagnoses since the previous evaluation. Results: For girls, the rate of depression was high regardless of prior anxiety, whereas for boys, the odds that those with prior subthreshold anxiety would have subsequent subthreshold depression were 1.5 times those of boys with no prior subthreshold anxiety, controlling for risk. In addition, the odds that girls with prior substance use disorders would have a threshold depressive disorder subsequently were three times those of girls with no prior substance use disorders, controlling for risk. Conclusions: These results highlight the importance of early detection of various forms of psychopathology in youth who then can be targeted for intervention. The prospective paths to comorbidity differed by sex, thus suggesting that interventions need to be constructed with sensitivity to these distinct diagnostic trajectories.