The aims of the present study were: (1) to examine the association between meeting the 24-h movement guidelines and depressive symptoms among U.S. adolescents; (2) to analyze the temporal trends of this association; and (3) to test whether sex, age, or race/ethnicity moderate these associations. This is a cross-sectional study using repeated data collection from the high school Youth Risk Behavior Surveys (YRBS), involving 45,297 adolescents in the US (49.7% females). Data were collected bi-annually between 2011 and 2021. These surveys represent cross-sectional snapshots rather than a longitudinal study, capturing data at distinct points in time across multiple years. The three 24-h movement guidelines, including guidelines for physical activity, screen time, and sleep duration were assessed by self-reported questions. Depressive symptoms were assessed by the question "During the past 12 months, did you ever feel so sad or hopeless almost every day for two weeks or more in a row that you stopped doing your usual activities?" with yes/no answer options. A generalized linear mixed model (GLMM) was employed to gauge the association between adherence to the 24-h movement guidelines (exposure) and the likelihood of having depressive symptoms (outcome). The year of data collection was included as a random intercept in the mixed-effects model to account for potential variations in depressive symptoms across different time points. The model was further adjusted for covariates, including sex, age, race/ethnicity, alcohol and tobacco consumption, school bullying, cyberbullying, and excess weight. Adolescents meeting all three 24-h movement guidelines (physical activity, screen time, and sleep) had the lowest probability of depressive symptoms (21.3%, 95% CI 17.3-25.3%) compared to those meeting none (37.6%, 95% CI 33.4-41.8%). Significant protective effects were observed across all adherence levels (p < 0.05). Over the 2011-2021 period, adherence remained consistently associated with reduced depressive symptoms, with the strongest effects seen in 2019 and 2021. Younger adolescents, males, and White individuals showed the greatest benefits, while females, older adolescents, Black, Hispanic/Latino, and individuals from other racial/ethnic groups exhibited weaker protective effects despite adherence. Findings from the present study highlight the importance of encouraging adherence to 24-h movement guidelines as a potential strategy to reduce depressive symptoms in adolescents. Notably, the protective effects of adherence varied across sociodemographic groups, with younger adolescents, females, and White individuals experiencing the greatest benefits.