The present study examined the prospective relationship between obsessive–compulsive and depressive symptoms during a multimodal treatment study involving youth with obsessive–compulsive disorder (OCD). Participants included fifty-six youth, aged 7–17 years (M = 12.16 years) who were enrolled in a two-site randomized controlled pharmacological and cognitive behavioral therapy treatment trial. Obsessive–compulsive severity was measured using the Children’s Yale-Brown Obsessive–Compulsive Scale, and depressive symptoms were rated using the Children’s Depression Rating Scale-Revised. Multi-level modeling analyses indicated that, on average over the course of treatment, variable and less severe obsessive–compulsive symptoms significantly predicted a decrease in depressive symptoms. Additionally, week-to-week fluctuations in OCD severity did not significantly predict weekly changes in depressive symptom severity. Level of baseline depressive symptom severity did not moderate these relationships. Findings suggest that when treating youth with OCD with co-occurring depression, therapists should begin by treating obsessive–compulsive symptoms, as when these are targeted effectively, depressive symptoms diminish as well.