We investigated rank-order continuity and mean-level change in adolescents’ self-esteem, academic self-concept, and social self-concept and tested whether interindividual differences in intraindividual change could be explained by four dimensions of classroom climate (i.e., teachers’ focus on students, learning community, pressure related to social or achievement issues, and rivalry and disruptions in class). The effects of classroom climate dimensions were investigated at the individual and classroom levels. The study comprised 2722 students from 98 classes who participated in four waves from grades 5 to 8. Rank-order continuities of self-esteem, academic self-concept, and social self-concept were substantial. Multilevel regressions revealed a significant nonlinear mean-level change in all constructs under investigation, indicating an initial decrease that became smaller over time. In self-esteem and social self-concept, the trend shifted from an initial decrease to an increase. Multilevel regressions revealed significant interindividual differences in the changes over time in all constructs. Change in academic self-concept was significantly predicted by all classroom climate dimensions on the individual level. Change in self-esteem was predicted by teachers’ focus on students and pressure related to social or achievement issues on the individual level. Change in social self-concept was not predicted by any classroom climate dimension.