Supportive relationships with parents and friends reduce adolescent risk for depression; however, whether and how the strength of these associations changes across adolescence remains less clear. Age‐varying associations of mother–adolescent and father–adolescent closeness and friend support with depressive symptoms were examined across ages 12.5–19.5 using data from the National Longitudinal Study of Adolescent to Adult Health (N = 4,819). Positive relationships with mothers, fathers, and friends were associated with lower depressive symptoms across adolescence, and the associations were generally stable across age. The association between father–adolescent closeness and depressive symptoms was stronger for girls than for boys during mid‐adolescence. Mother–adolescent closeness was more strongly negatively associated with depressive symptoms in the context of higher friend support during mid‐adolescence.