Peer victimization and depressive symptoms are highly relevant risks during adolescence. Understanding the dynamic patterns of interactions between peer victimization and depressive symptoms as well as gender differences in these variables can improve intervention strategies for adolescents navigating this critical transition period. In the present study, a large sample of Chinese adolescents reported peer victimization and depressive symptoms in four survey waves at six-month intervals. A total of 2534 adolescents (51.9% boys, M = 12.98 ± 0.60 years) were included in the latent change score (LCS) analysis. The results supported the reciprocal effects model obtained in the full sample. Changes in peer victimization were influenced by prior changes in depressive symptoms over time, and changes in depressive symptoms were influenced by prior levels of peer victimization. There were also gender differences, with boys exhibiting depressive symptom-driven effects on peer victimization, while girls exhibiting peer victimization-induced depressive symptoms. The dynamic relationships between peer victimization and depressive symptoms that promote and constrain each other in adolescents are elucidated in this study. Differentiating effects on boys and girls is crucial for enhancing the effectiveness of practical interventions.