Sexual harassment on college campuses is a frequent occurrence and serious public health concern. Victims of sexual harassment are at risk for many possible negative health consequences. In addition, certain psychological distress symptoms and/or alcohol use may put individuals at increased risk of being victims of sexual harassment. Data from over 2,000 college students in the Midwestern United States were used to examine reciprocal causal effects of the relations between (1) experiencing sexual harassment and alcohol use and (2) experiencing sexual harassment and psychological distress symptoms, specifically depression and anger/hostility. Analyses were conducted separately for sexual harassment that occurs at school and that occurs in college students’ workplaces and also separately for men and women. Results of cross-lagged panel models showed that there were reciprocal causal effects between sexual harassment and alcohol problems, depression, and anger. Discussion focuses on the overall patterns of results as well as the nuances within these findings.