Psychotic disorders and major depression, both typically adult-onset conditions, often co-occur. At younger ages psychotic experiences and depressive symptoms are often reported in the community. We used a genetically sensitive longitudinal design to investigate the relationship between psychotic experiences and depressive symptoms in adolescence. A representative community sample of twins from England and Wales was employed. Self-rated depressive symptoms, paranoia, hallucinations, cognitive disorganization, grandiosity, anhedonia, and parent-rated negative symptoms were collected when the twins were age 16 (N = 9618) and again on a representative subsample 9 months later (N = 2873). Direction and aetiology of associations were assessed using genetically informative cross-lagged models. Depressive symptoms were moderately correlated with paranoia, hallucinations, and cognitive disorganization. Lower correlations were observed between depression and anhedonia, and depression and parent-rated negative symptoms. Nonsignificant correlations were observed between depression and grandiosity. Largely the same genetic effects influenced depression and paranoia, depression and hallucinations, and depression and cognitive disorganization. Modest overlap in environmental influences also played a role in the associations. Significant bi-directional longitudinal associations were observed between depression and paranoia. Hallucinations and cognitive disorganization during adolescence were found to impact later depression, even after controlling for earlier levels of depression. Our study shows that psychotic experiences and depression, as traits in the community, have a high genetic overlap in mid-adolescence. Future research should test the prediction stemming from our longitudinal results, namely that reducing or ameliorating positive and cognitive psychotic experiences in adolescence would decrease later depressive symptoms.