Introduction Left‐behind adolescents are vulnerable to depressive symptoms under the context of parent‐adolescent separation. However, limited knowledge is available regarding left‐behind adolescents' depression trajectory and the protective resources against it. The aim of this longitudinal study was to investigate the depression trajectory and its association with parent‐adolescent separation (left‐behind status, age of separation and duration of separation) and parent‐adolescent cohesion (father‐adolescent cohesion, mother‐adolescent cohesion) among left‐behind adolescents. Methods The participants were 1,107 left‐behind adolescents (Mage = 13.23 ± 0.86 years at T1; 45.17% girls; 38.48% both‐parent migrant adolescents, 61.52% father‐only migrant adolescents) from two rural areas of Shandong Province in China, who were participated in assessment at three time points with 6 months apart from November 2014 to November 2015. Results The results indicated that the trajectory of left‐behind adolescents' depression symptoms showed a decreasing trend. Both‐parent migrant adolescents reported a higher initial level of depressive symptoms than father‐only migrant adolescents. Duration of separation positively predicted the initial level of left‐behind adolescents' depressive symptoms. Mother‐adolescent cohesion negatively predicted the initial level and positively predicted the change rate of left‐behind adolescents' depressive symptoms. Moreover, mother‐adolescent and father‐adolescent cohesion buffered the negative effect of parent‐adolescent separation on the initial level of left‐behind adolescents' depressive symptoms. Conclusions These findings highlight the protective role of parent‐adolescent cohesion for left‐behind adolescents, having important implications for interventions targeted toward mitigating the detrimental influence of parent‐adolescent separation on left‐behind adolescents' depression trajectory.