Self-esteem and depressive symptoms are important predictors of a range of societally relevant outcomes and are theorized to influence each other reciprocally over time. However, existing research offers only a limited understanding of how their dynamics unfold across different timescales. Using three data sets with different temporal resolutions, we aimed to advance our understanding of the temporal unfolding of the reciprocal dynamics between self-esteem and depressive symptoms. Across these data sets, participants (Ntotal = 6,210) rated their self-esteem and depressive symptoms between 6 and 14 times across days, months, and years, respectively. Using continuous time dynamic models, we found limited evidence for significant within-person cross-lagged effects between self-esteem and depressive symptoms. Only in the yearly data set, a cross-lagged effect from depressive symptoms to self-esteem emerged quite consistently. However, in all data sets, cross-lagged effects were small in size (-0.04 ≤ β ≤ -0.01). These findings suggest that the reciprocal dynamics between self-esteem and depressive symptoms may be less robust than commonly thought. Furthermore, exploratory analyses indicated that these effects depended on people's overall levels of depressive symptoms, suggesting that theoretical frameworks that highlight transactions between self-esteem and depression may not generalize across all levels of depressive symptoms. Finally, self-esteem and depressive symptoms were strongly correlated within measurements, similarly stable over time, and changed similarly in response to negative life events, provoking questions as to their conceptual distinctiveness and measurement approaches. (PsycInfo Database Record (c) 2025 APA, all rights reserved).