The scientific literature consistently supports a negative relationship between adolescent depression and educational achievement, but we are certainly less sure on the causal determinants for this robust association. In this paper we present multivariate data from a longitudinal cohort-sequential study of high school students in Hawai‘i (following McArdle, 2009; McArdle, Johnson, Hishinuma, Miyamoto, & Andrade, 2001). We first describe the full set of data on academic achievements and self-reported depression. We then carry out and present a progression of analyses in an effort to determine the accuracy, size, and direction of the dynamic relationships among depression and academic achievement, including gender and ethnic group differences. We apply three recently available forms of longitudinal data analysis: (1) Dealing with Incomplete Data -- We apply these methods to cohort-sequential data with relatively large blocks of data which are incomplete for a variety of reasons (Little & Rubin, 1987; McArdle & Hamagami, 1992). (2) Ordinal Measurement Models (Muthén & Muthén, 2006) -- We use a variety of statistical and psychometric measurement models, including ordinal measurement models to help clarify the strongest patterns of influence. (3) Dynamic Structural Equation Models (DSEMs; McArdle, 2009). We found the DSEM approach taken here was viable for a large amount of data, the assumption of an invariant metric over time was reasonable for ordinal estimates, and there were very few group differences in dynamic systems. We conclude that our dynamic evidence suggests that depression affects academic achievement, and not the other way around. We further discuss the methodological implications of the study.