Social anxiety and depressive symptoms often co-occur during early adolescence but contributing factors to this development are still a matter of debate. This study examined the role of daily stressors (peers, school and homelife) in the links between adolescent social anxiety and depressive symptoms. 7-8th graders at Time 1 (N = 2,752, Mage = 13.65; 47.5% girls) were followed across three time-points. Cross-lagged path models showed that depressive symptoms predicted later social anxiety, but not vice versa. Bidirectional links were identified between peer stress and social anxiety, and between school/homelife stress and depressive symptoms, respectively. Indirect effects of social anxiety, depressive symptoms, and daily stressors were found, though stressors did not mediate the links between social anxiety and depressive symptoms (or vice versa). Our findings indicate an intricate role of daily stressors in different domains on the links between social anxiety and depressive symptoms.