Depression and alcohol use disorder (AUD) are frequently co-occurring in adolescence, which often goes undetected in routine care. While this may potentially compromise treatment effectiveness and lead to a less favourable long-term prognosis, few longitudinal studies have followed this group into adulthood. The aim of this study was to explore the risk for adult depression, anxiety disorders, suicidality, and AUD in adolescents with concurrent depression and AUD. The study was based on the Uppsala Longitudinal Adolescent Depression Study (ULADS), a Swedish prospective cohort study. Diagnostic interviews were conducted in adolescence (age 16-17) and adulthood (around age 30). Adolescents with concurrent depression and AUD (n = 38) were compared with peers having only depression (n = 189) or neither of the conditions (n = 144). Logistic regression was used to calculate adjusted odds ratios (aORs) with 95% confidence intervals (CIs). Adolescents with concurrent depression and AUD were more likely than their non-affected peers to experience adult depressive episodes (aOR, 5.33; 95% CI, 2.22–12.83), anxiety disorders (4.05; 1.77–9.27), suicidality (5.37; 2.28–12.66), and AUD (7.68; 2.59–22.81). Notably, 34% of adolescents with both depression and AUD subsequently experienced both these conditions as adults, compared to 7% of adolescents with only depression. Adolescents suffering only from depression were less likely than those with both conditions to experience suicidality (0.44; 0.21–0.95) and AUD in adulthood (0.18; 0.07–0.44). These findings underscore the clinical imperative to identify adolescents with this comorbidity. Recognition of the poor long-term prognosis can inform targeted interventions for this vulnerable group, ultimately improving health and well-being throughout the life course.