The current study examined the concurrent and longitudinal protective effects of peer popularity and self-discipline (control, planning, and the ability to prioritize important things) against depressive symptoms among adolescents. We used multilevel modeling to examine the data of 1676 adolescents aged 12–15 years from the China Family Panel Studies (CFPS) survey, a large-scale panel survey with a nationally representative sample. Results showed that both peer popularity and self-discipline predicted lower levels of depressive symptoms measured concurrently. The buffering effect of self-discipline against concurrent depressive symptoms was stronger for girls than for boys, especially in middle adolescence. Peer popularity additionally predicted lower levels of depressive symptoms 4 years later, and this effect was stronger for girls than for boys. These patterns of results were maintained after controlling for self-rated physical health and society-level factors. We discuss these findings against the background of distinct traditional gender roles.