OBJECTIVE: To explore the concurrent trajectories of depressive symptoms and insomnia among adolescents and to analyse the individual, familial and social predictors of the concurrent trajectories. STUDY DESIGN: This study tracked depressive symptoms and insomnia in eight secondary schools annually from 2021 to 2023. We also collected data on individual, familial and social factors that may influence these conditions. Group-based multi-trajectory (GBMT) modelling was used to categorise adolescents into depressive-insomnia severity subgroups. RESULT: This study included 2822 adolescents, who were categorised into four groups, including the no symptom group, mild symptom group, symptom relief group and symptom increase group. Compared with the no symptom group, predictors of the mild symptom group were gender (OR = 1.30), academic performance (OR = 1.57), subjective well-being (OR = 0.78), anxiety (OR = 1.14), economic status (OR = 1.23) and relationship with teachers (OR = 1.46). Predictors of the symptom relief group were personality (OR = 1.75), academic performance (OR = 2.28), subjective well-being (OR = 0.69) and anxiety (OR = 1.25). Predictors of the symptom-increasing group were personality (OR = 2.45), academic performance (OR = 1.96), subjective well-being (OR = 0.69), anxiety (OR = 1.20), maternal education level (OR = 1.58), family function (OR = 0.93), parental relationship (OR = 2.07) and relationship with teachers (OR = 1.54). CONCLUSION: This study provided a comprehensive understanding of the concurrent trajectories of depressive symptoms and insomnia among adolescents, revealing distinct subgroups and identifying predictors across individual, familial and social levels. IMPLICATIONS FOR PATIENT CARE: This study emphasises the importance of a multi-faceted approach involving family, school and society to promote adolescent mental health and also highlights the need for conducting precise interventions according to adolescents' features. IMPACT: The identification of four distinct symptom trajectories and their predictors advances the understanding of adolescent mental health development, informing precision prevention strategies. REPORTING METHOD: STROBE checklist. PATIENT OR PUBLIC CONTRIBUTION: None.