Purpose: One’s peer group can have a strong impact on depressed mood and harmful drinking in adolescence. It remains unclear whether affiliation with deviant peers explains the link between these traits. Our study aims to (1) explore the developmental relationship between harmful drinking and depressed mood in adolescence and (2) establish to which extent affiliation with deviant peers explains this relationship. Methods: A total of 4,863 adolescents from the Avon Longitudinal Study of Parents and Children were assessed between the ages of 14 and 16 years. Harmful drinking was established using age-appropriate measures: the Semi-Structured Assessment for the Genetics of Alcoholism in mid-adolescence (age, 14 years) and the Alcohol Use Disorders Identification Test in late adolescence (age, 16 years). Depressed mood was measured by the Short Mood and Feelings Questionnaire at both ages. Affiliation with deviant peers was assessed at the age of 15 years. Results: Harmful drinking at the age of 14 years predicted depressed mood 2 years later. This association was explained by affiliation with deviant peers and remained present even after adjustment for earlier depressed mood. Depressed mood at the age of 14 years predicted harmful drinking at the age of 16 years via affiliation with deviant peers; however, this indirect effect disappeared when adjusting for adolescents’ earlier harmful alcohol use (age, 14 years). No gender differences were observed. Conclusions: Adolescents who engage in early harmful drinking and subsequently become affiliated with a deviant peer group may be at particular risk of later depressed mood.