Adolescence is marked by increases in the incidence of major depression (MDD), a disorder recognized as one of the leading causes of disability. Anhedonia and depressed mood predict both onset and chronicity of major depression (MDD), but have never been studied together longitudinally in the general adolescent population. The present study examined (1) the course and the stability of anhedonia and depressed mood and (2) their cross-sectional and longitudinal relations during adolescence. The study cohort consisted of 2,230 adolescents. Anhedonia and depressed mood were assessed with items of the YSR and ASR self-report forms at four measurement waves between ages 11 and 19. The proportion of adolescents reporting anhedonia decreased between ages 11 and 19, while the proportion of female adolescents reporting depressed mood increased. The stability of anhedonia and the cross-sectional association between anhedonia and depressed mood was larger at age 19 than at age 11. We found a mutual association between anhedonia and depressed mood without a clear temporal sequence. The presence of anhedonia at the end of adolescence might put adolescents at increased risk for MDD given the increasingly stronger stability and association with depressed mood. This suggests that it becomes more difficult to prevent MDD during late adolescence compared with early and middle adolescence.