Loneliness, social anxiety symptoms, and depressive symptoms are internalizing problems that are highly intertwined and often co-occur during adolescence. This overlap and co-occurrence raises the question whether three different labels are used for the same underlying phenomenon. The present study adopts a comprehensive approach to this issue by investigating the development of the three phenomena simultaneously. Specifically, this study aimed to investigate (1) the developmental trend for all three internalizing problems separately, (2) whether they are best described by a single developmental trend, (3) how they co-develop across adolescence, and (4) gender differences in this co-development. The analyses were run in three three-wave longitudinal samples of adolescents with one-year intervals in order to verify the robustness of the findings. Sample 1 (roughly ages 15, 16, and 17) comprised 549 adolescents (63% girls), and Samples 2 and 3 (roughly ages 13, 14, and 15) comprised 811 adolescents (46% girls) and 1101 adolescents (52% girls), respectively. Latent growth curve modeling for the three phenomena separately showed either small increases or stable patterns. A comparison of a Multiple Indicator Latent Growth Model (MILGM) with a Parallel Process Latent Growth Curve Modeling (PPLGCM) showed that the three internalizing problems followed unique, but related, developmental trends across adolescence. The intercepts of the three phenomena were positively correlated with one another in all samples and increases in loneliness were associated consistently with increases in social anxiety symptoms. Only in Sample 3 evidence was found for a similar association between loneliness and depressive symptoms and between social anxiety symptoms and depressive symptoms. Except for differences in initial levels, gender differences in the development of the three problems were limited. Overall, the results of the present study clearly indicate that the three internalizing problems are longitudinally distinct from one another, but co-develop across adolescence.