Anxiety and depressive symptoms are common and highly interrelated. A relatively consistent temporal pattern of anxious and depressive symptoms has emerged from previous studies, such that the development of anxiety tends to precede and predict the development of depression rather than the other way around. Whether high levels of childhood anxiety predict depressive symptoms in late adolescence may depend, in part, on the ways in which children cope with stressful events. Accordingly, the present study used latent intercept models to examine involuntary and voluntary coping responses to familial stress as potential moderators of the association between childhood anxiety and adolescent depressive symptoms. Two hundred twenty-seven participants completed questionnaires measuring demographic variables as well as anxiety, depressive symptoms, and coping responses at a minimum of one time point over four waves of data collection (T1 Mage = 10.26 years, T2 Mage = 15.77 years, T3 Mage = 16.75 years, T4 Mage = 17.68 years). We found that childhood anxiety was positively associated with adolescent depressive symptoms when children reported higher levels of involuntary responses to family stress (e.g., rumination or physiological arousal) in conjunction with either lower levels of voluntary engaged responses (e.g., problem solving or emotion regulation) or higher levels of voluntary disengaged responses (e.g., avoidance or denial). These results shed light on the conditions under which childhood anxiety is associated with adolescent depressive symptoms and underscore the need for continued longitudinal and developmental research on this topic.