Developing a personal identity is a core developmental task for all adolescents, immigrant or not. But immigrant adolescents face the additional task of developing a sense of who they are in terms of ethnicity, what their ethnic heritage means to them (ethnic identity), and how they relate to the host culture (national identity). Even though developing personal, ethnic, and national identities are all central developmental tasks for immigrant youth, to date these processes have only been investigated in disparate lines of research. To address this gap, this longitudinal study examined the dynamic interplay of personal, ethnic, and national identity exploration and commitment. Using a large sample of immigrant adolescents in Greece (N = 795, Mage = 12.8, SD = 0.75, 46% girls), we tested two trivariate (personal; ethnic; national identity) Cross-Lagged Panel Models to examine identity exploration and commitment processes. Results indicated positive concurrent associations among all identity domains, for both exploration and commitment. However, the dynamic, lagged associations among the identity domains were reciprocally negative, especially between ethnic identity commitment and national identity commitment. Together, these results show that, even though identity development in one domain goes hand in hand with development in the other domains, the consequences of exploring and/or committing to one domain for the other domains are more nuanced. The potential role of societal assimilationist attitudes for this negative dynamic pattern is discussed.