Depression and anxiety are highly prevalent and comorbid in adolescents, and this co-occurrence leads to worse prognosis and additional difficulties. The relationship between depression and anxiety must be delineated to, in turn, reduce and prevent the comorbidity, however our knowledge is still limited. We used network analysis to investigate bridge symptoms; symptoms that connect individual depression and anxiety symptoms and thus can help explain the comorbidity. We also examined the role of relevant risk and protective factors in explaining these symptom-level associations between these disorders. We analyzed data from the Avon Longitudinal Study of Children and Parents (n = 3670). Depression and anxiety symptoms, peer victimization, bullying, peer relational problems, prosocial behavior, and parental monitoring were assessed at a single time point around age 13 years. Stressful life events (SLEs) were assessed at age 11 years. We identified the most prominent bridge symptoms among depression (“feeling unhappy”, “feeling lonely”) and anxiety symptoms (“worrying about past”, “worrying about future”). Peer relational difficulties and SLEs were strongly associated with several depression and anxiety symptoms, such that these two risk factors created a link between individual depression and anxiety symptoms. Prosocial behavior had several negative associations with symptoms of both disorders, suggesting it can be an important protective factor.