Research has demonstrated consistent positive associations between perceived parental psychological control and adolescents’ depressive symptoms, but the direction of influence remains unclear. Using a cross-lagged longitudinal design in two samples of late (Study 1, N = 396) and middle (Study 2, N = 724) adolescents, this study compared three models, that is, a psychological control effects model, an adolescent adjustment effects model, and a reciprocal model. Structural equation modeling analyses generally favored the reciprocal model over each of the unidirectional models. The cross-lagged effects of perceived psychological control remained significant after controlling for two important parenting dimensions (i.e., parental responsiveness and behavioral control; Study 1) and were found in all types of parent-adolescent dyads except for the mother-daughter dyad (Study 2). Implications for the understanding of the mechanisms that underlie the deleterious effects of parents’ psychological control on adolescent adjustment are discussed.