Depressive symptoms are common among individuals with posttraumatic stress disorder (PTSD). Prolonged exposure therapy (PE) for PTSD has been found to alleviate both PTSD and depressive symptoms, but relatively little is known about the pattern of PTSD and depressive symptom change during treatment. This study aimed to investigate the relationship between changes in PTSD and depression during PE for adolescent (PE-A) and client-centered therapy (CCT). The moderating role of PE-A versus CCT and the possible differences across symptom clusters of PTSD were also examined. Participants were 61 female adolescents with sexual-assault-related PTSD randomized to PE-A (n = 31) or CCT (n = 30). Participants completed the Beck Depression Inventory and the Child PTSD Symptom Scale at pre-, mid-, and posttreatment and before each treatment session. Multilevel mediation analysis indicated a reciprocal but asymmetrical relationship between changes in PTSD and depression during treatment in the overall sample. Moderated mediation analysis showed that the reciprocal relation was observed only during PE-A. Reductions in PTSD led to reductions in depression to a greater extent (48.7%), 95% confidence interval [30.2, 67.2], than vice versa (22.0%), [10.6, 33.4]. For participants receiving CCT, reduction in PTSD led to reductions in depression (31.6%), [11.8, 51.4], but not vice versa (7.4%), [-7.1, 21.9]. The reciprocal relationship between PTSD and depression was also observed across different symptoms clusters of PTSD. Our findings suggest that changes in PTSD led to changes in depressive symptoms to a greater extent than vice versa across PE-A and CCT.