During the transition from primary to secondary school, students typically experience a new social environment, moving from primary school with small intact classes throughout the day with one main teacher, to a larger secondary school with teachers, classrooms and often classmates changing throughout the day. During this time, students report a reduced sense of connectedness, which has been associated with symptoms of depression and anxiety. This study investigated the temporal association between feeling connected to school and mental health prior to and over the transition period. Data were obtained from 3,459 students in a longitudinal study of adolescents' knowledge, attitudes and experiences of bullying victimisation and perpetration during the transition from primary school to secondary school. Students completed a questionnaire at four time points from Grade 7 to the end of Grade 9. Path analysis was used to model relationships between school connectedness, depression and anxiety. The findings suggest reciprocal relationships between connectedness and mental health where increased connectedness to school is associated with decreased depression and anxiety; conversely, increased depression and anxiety is associated with decreased connectedness to school. The significant reciprocal associations found in the cross-lag models in the first two years of secondary school indicate the need to intervene during the transition period to improve students' social and mental health outcomes.