Sexual harassment is commonly considered unwanted sexual attention and a form of gender-based violence that can take physical, verbal and visual forms and it is assumed to cause later depression in adolescents. There is a dearth of research explicitly testing this assumption and the directional pathway remains unclear. The purpose of this study was to use a feminist theoretical framework to test competing models in respect of the direction of the relationships between dimensions of peer sexual harassment victimization and dimensions of depressive symptoms from ages 14 to 16 in adolescents. The study also aimed to investigate gender differences in these pathways. Cross-lagged models were conducted using a three-wave (2010, 2011 and 2012) longitudinal study of 2330 students (51 % females) from Sweden, adjusted for social background. Girls subjected to sexual harassment in grade seven continued to experience sexual harassment the following 2 years. There was weaker evidence of repeated experience of sexual harassment among boys. Depressive symptoms were stable over time in both genders. Sexual name-calling was the dimension that had the strongest associations to all dimensions of depressive symptoms irrespective of gender. In girls, name-calling was associated with later somatic symptoms and negative affect, while anhedonia (reduced ability to experience pleasure) preceded later name-calling. Physical sexual harassment had a reciprocal relationship to somatic symptoms in girls. In boys, name-calling was preceded by all dimensions of depressive symptoms. It is an urgent matter to prevent sexual harassment victimization, as it is most likely to both cause depressive symptoms or a reciprocal cycle of victimization and depression symptoms in girls as well as boys.