Is self-critical perfectionism an antecedent of depressive symptoms, a consequence of depressive symptoms, or both? In the present study, self-critical perfectionism (i.e., harsh criticism of one’s actions, negative reactions to perceived failures, and extreme concerns over others’ evaluations) and depressive symptoms were conceptualised as a unified, interlocking syndrome wherein self-critical perfectionism and depressive symptoms reciprocally influence each other over time. This reciprocal relations model was tested in 240 undergraduates studied using a four-wave, 4-week longitudinal design. As hypothesised, reciprocal relations were observed between self-critical perfectionism and depressive symptoms, with self-critical perfectionism predicting changes in depressive symptoms and vice versa. Results suggest persons high in self-critical perfectionism may find themselves entangled in an escalating pattern where self-critical perfectionism both leads to, and results from, depressive symptoms. Research focused exclusively on unidirectional relations between self-critical perfectionism and depressive symptoms may ignore information critical to accurately understanding self-critical perfectionism, depressive symptoms, and their interrelation. Instead of assuming unidirectional relations between self-critical perfectionism and depressive symptoms, researchers are encouraged to test for reciprocal relations between these two variables.