This study leveraged machine learning to evaluate the contribution of information from multiple developmental stages to prospective prediction of depression and anxiety in mid-adolescence. A community sample (N = 374; 53.5% male) of children and their families completed tri-annual assessments across ages 3-15. The feature set included several important risk factors spanning psychopathology, temperament/personality, family environment, life stress, interpersonal relationships, neurocognitive, hormonal, and neural functioning, and parental psychopathology and personality. We used canonical correlation analysis (CCA) to reduce the large feature set to a lower dimensional space while preserving the longitudinal structure of the data. Ablation analysis was conducted to evaluate the relative contributions to prediction of information gathered at different developmental periods and relative to previous disorder status (i.e. age 12 depression or anxiety) and demographics (sex, race, ethnicity). CCA components from individual waves predicted age 15 disorder status better than chance across ages 3, 6, 9, and 12 for anxiety and 9 and 12 for depression. Only the components from age 12 for depression, and ages 9 and 12 for anxiety, improved prediction over prior disorder status and demographics. These findings suggest that screening for risk of adolescent depression can be successful as early as age 9, while screening for risk of adolescent anxiety can be successful as early as age 3. Assessing additional risk factors at age 12 for depression, and going back to age 9 for anxiety, can improve screening for risk at age 15 beyond knowing standard demographics and disorder history.