Prior literature has suggested that the comorbidity of anxiety and depressive symptoms is often high and common among adolescents and has indicated low, moderate, and high developmental classes. However, there are measurement and theoretical limitations in the literature. Thus, the purpose of the current study is to utilize the correlated liability model of psychopathology to address these limitations: (1) estimating longitudinal classes of the co-occurrence of anxiety and depressive symptoms; (2) exploring whether baseline experience of cyber sexual harassment predicts each class (n = 3064). Group-based trajectory modeling (GBTM) results identified four longitudinal classes of the comorbidity of anxiety and depressive symptoms (e.g., Declining, Low, Moderate, and High Chronic). Multinominal logistic regression results indicated that experiencing cyber sexual harassment at baseline was associated with a lower risk of assignment to the Moderate and Low groups relative to the High Chronic group. These results suggest that adolescents who were sexually harassed online were more likely to report high and chronic comorbidity of anxiety and depressive symptoms over time. Practical and theoretical implications are discussed.