Alcohol use and depressive feelings are often related among early adolescents. However, the nature and underlying mechanisms of this association are not yet clear. The aim of this study was to investigate the co-development of alcohol use and depressive feelings over time and to examine the effects of the mu-opioid receptor (OPRM1) A118G genotype on such co-development. Data from a five-wave longitudinal, genetically informed survey study, with intervals of 4 months among a group of 739 normative early adolescents (12–13 years of age at baseline), were analyzed using a dual latent growth curve approach. OPRM1 status was evaluated from saliva-derived DNA samples. The results indicated a positive association between alcohol use and depressive feelings both at the initial levels and over time, indicating co-development in early adolescence. Compared to OPRM1 118G carriers, homozygous 118A carriers showed a greater increase in frequency of alcohol use and higher levels of depressive feelings over time. Evidence for co-development was only found within the group of homozygous 118A carriers, whereas in OPRM1 118G carriers the development of alcohol use and depressive feelings over time were not significantly associated. These results highlight the potential of OPRM1 as a common etiological factor for the development of alcohol use and depressive feelings in early adolescence.