<p>In recent years, emotional difficulties among primary school students have drawn increasing attention, particularly as depressive symptoms have become more common in younger populations. To better understand the time-lagged associations among peer experiences, social anxiety, school climate, and depressive symptoms, this study investigated how peer relationships were associated with later depressive symptoms and further examined whether social anxiety statistically accounted for this association. Using a three-wave time-lagged design, a sample of 736 Chinese primary school students with a mean age of 10.46 years (<i>SD</i> = 1.15) participated in three rounds of data collection. The results indicated that the quality of peer relationships was significantly and negatively associated with later depressive symptoms, and that social anxiety statistically accounted for the time-lagged association between peer relationships and depressive symptoms. Moreover, perceived school climate moderated the strength of the time-lagged associations between peer relationships and both social anxiety and depressive symptoms. These findings highlight that efforts to prevent and intervene in children’s mental health problems should attend to both individual-level peer experiences and supportive factors in the broader school environment. However, because baseline levels of social anxiety and depressive symptoms were not assessed, the findings should be interpreted as temporally ordered associations rather than evidence of causal developmental mechanisms.</p>