Empathic competences might help adolescents navigate current multicultural societies by supporting harmonious intergroup relations. Yet it is unclear how each component of empathy (empathic concern and perspective-taking) is associated with different dimensions (affective, cognitive, behavioral) of ethnic prejudice. The current study aims to fill this gap. A total of 259 Italian adolescents (Mage = 15.60, 87.6% female) completed online questionnaires at three time points (i.e., April, May, and October 2021). The results of cross-lagged models indicated that empathic concern was directly and indirectly associated with reduced affective, cognitive, and behavioral ethnic prejudice, while perspective-taking was linked to increases in cognitive and one facet of behavioral (i.e., lower contact willingness) prejudice. Furthermore, the prevalence of affect over cognition was found, with the affective component of both empathic competences (i.e., empathic concern) and ethnic prejudice exerting the strongest influence on the cognitive ones.