The co-occurrence of conduct problems (CP) and depressive symptoms (DS) is an important topic in developmental psychopathology; however, research in this area is still in its early stages. Using data from a school-based longitudinal sample of 2,453 adolescents with five waves from Grade 6 to 9, we examined the prevalence, etiology, and consequences of the co-occurrence of CP and DS. A person-centered approach, general growth mixture modeling, was applied to obtain CP and DS trajectory groups. The risk factors and consequences of the co-occurrence problem were examined using the trajectory groups. As hypothesized in a nonclinical sample, a small proportion of boys (8.8%) and girls (3.7%) reported to be high in both CP and DS over time. Among the adolescents with the highest level of CP, only 6.3% of the boys and 6.0% of the girls experienced the highest level of DS. However, among those with the highest level of DS trajectories, 42.9% of the boys and 10.2% of the girls reported the highest level of CP, indicating a gender-specific risk of the co-occurrence problem for depressed boys. Psychosocial and family factors were identified as vulnerable precursors to co-occurring CP and DS, a finding in line with the multiple domain risk model for CP and the transactional model for DS. The study also found that adolescents with the co-occurrence problem were more similar to those with “pure DS” than those with “pure CP” in academic adjustment at the ninth grade.