We examined the temporal precedence between perceived peer rejection, rejection sensitivity, depression, and aggression in a sample of 544 adolescents (55.7% girls; Mage = 14.96 years at the first measured time point) assessed yearly from Grade 9 to Grade 12. Using developmental cascade modelling to analyze the data, our study supported the symptoms-driven and social process models, in that perceived rejection was preceded by either depression or aggression at different times across adolescence. Similarly, rejection sensitivity was also preceded by depression and/or aggression. Although depression initiated the cascade leading to rejection sensitivity, our model also supported a bidirectional relation across late adolescence as rejection sensitivity also predicted future depression. Overall, our findings provide support that internalizing and externalizing problems lead to interpersonal difficulties with peers, such as perceived rejection and demonstrate the unique role of rejection sensitivity with regard to depression and aggression independent from perceived peer rejection.