The main purpose of this study was to examine the extent to which middle and late adolescents’ depressive symptoms predict their later school burnout and, in turn, the extent to which school burnout predicts depressive symptoms. Drawing on data gathered at ages 15–19 in two-three-wave longitudinal studies, we investigated cross-lagged paths between school burnout and depressive symptoms. In Study 1 the participants were 15-year-old adolescents (Time 1: N = 611, Time 2: N = 614, Time 3: N = 725) who completed the School Burnout Inventory and depressive symptoms twice during their final term of comprehensive school and once after the transition to upper secondary high school or vocational school. In Study 2 the participants were 17-year-old adolescents whose school burnout and depressive symptoms were measured three times annually (Time 1: N = 474, Time 2: N = 412, Time 3: N = 414) during their 3 years of secondary education. Results of both studies revealed moderate stability for both school burnout and depressive symptoms. They also showed that school burnout more strongly predicted subsequent depressive symptoms later on than vice versa. Lastly, they revealed cumulative cycles between school burnout and depressive symptoms.