<p>The transition to adolescence is a critical period for the onset of depressive symptoms, making it crucial to examine the risk factors and consequences related to their development and maintenance. Although previous studies have suggested a negative relationship between self-efficacy and depressive symptoms, it is unclear how these two variables evolve together over time during the transition to adolescence and how these relationships vary dynamically within-person and between-person. This study used a latent curve model with structured residuals to examine whether a bidirectional relationship involving academic, social, and emotional self-efficacy and depressive symptoms exists during the transition to adolescence. A sample of 3748 Chinese early adolescents (48.2% girls; initial <i>M</i>_age = 9.77 years, <i>SD</i>_age = 0.31) participated in six assessments over three years. The results revealed that, at the between-person level, the initial states and changes in the three dimensions of self-efficacy were significantly and negatively associated with those of depressive symptoms. At the within-person level, when individuals’ social and emotional self-efficacy fell below their expected trajectories they followed, they experienced a subsequent increase in depressive symptoms six months later, and when individuals’ depressive symptoms exceeded their expected trajectories they followed, they experienced a decrease in academic, social, and emotional self-efficacy six months later. Notably, the paths from depressive symptoms to self-efficacy were stronger and more reliable than the opposite paths. These findings revealed an asymmetric vicious cycle between self-efficacy and depressive symptoms.</p>