School belonging (i.e., social connectedness to school) has positive implications for academic achievement and well-being. However, few studies have examined the developmental antecedents of school belonging, particularly for students of Mexican origin. To address this gap in the research literature, the present study examined reciprocal relations between school belonging and two self-affirmation beliefs—self-esteem and ethnic pride—using data from a longitudinal study of Mexican-origin students followed from fifth to ninth grade (N = 674, Mage at Wave 1 = 10.4 years, 50% girls). Furthermore, we evaluated whether the associations were stronger for boys than girls. Using multiple group analysis in a structural equation modeling framework, results indicate that, among boys, ethnic pride was prospectively associated with increases in self-esteem, self-esteem was associated with increases in school belonging, and the direct association between ethnic pride and school belonging was bidirectional. For girls, ethnic pride was prospectively associated with later school belonging. Discussion focuses on the gender differences in observed effects and implications for school programs and interventions.