Approximately 1/5 of adolescents develop depressive symptoms. Given that youths spend a good deal of their lives at school, it seems plausible that supportive relationships with teachers could benefit their emotional well-being. Thus, the purpose of this study is to examine the association between emotionally supportive teacher relationships and depression in adolescence. The so-called principle-effect and stress-buffer models could explain relationships between teacher emotional support and depressive symptoms, yet no study has used both models to test bidirectional relationships between teacher support and depressive symptoms in students separately by sex. Four-thousand three-hundred forty-one students (boys: n = 2,063; girls: n = 2,278) from Grades 8 to 12 completed the Center for Epidemiological Studies Depression Scale (CES-D), List of Threatening Experiences Questionnaire (LTEQ), and an instrument developed for the study to measure teacher support annually for 5 years. Results support neither of the 2 proposed models. Instead, they indicate that in the 1st years of high school, students of both sexes with average and high numbers of stressful events benefit from teacher support, while teacher support might have iatrogenic effects on students experiencing low numbers of stressful events. Possible explanations for the findings and future research are discussed.