The literature regarding bidirectional relationships of depressive symptoms to cigarette and alcohol use is mixed, and limited regarding e-cigarette and cannabis use. Moreover, COVID-19 has significantly impacted mental health and substance use, especially among young adults. Thus, this is a critical period for focused research on these relationships among young adults. We analyzed longitudinal data (assessments in Fall 2018, 2019, and 2020) from 3,006 young adults (Mage = 24.56 [SD = 4.72], 54.8% female, 31.6% sexual minority, 71.6% White, 5.3% Black, 12.2% Asian, 11.4% Hispanic) from 6 US metropolitan statistical areas. Cross-lagged panel models were conducted to examine bidirectional associations between depressive symptoms and past 30-day use of cigarettes, e-cigarettes, cannabis, and alcohol (respectively), controlling for sociodemographics. During the study period, depressive symptoms decreased before the pandemic but increased during, cigarette and e-cigarette use decreased in both periods, alcohol use showed no change before but increases during the pandemic, and cannabis use increased in both periods. Additionally, each outcome demonstrated greater stability before versus during COVID-19. Finally, greater antecedent depressive symptoms correlated with more days of subsequent cigarette (β = 0.03, SE = 0.01, p =.011) and e-cigarette use (β = 0.03, SE = 0.01, p =.021), but fewer days of alcohol use (β = -0.02, SE = 0.01, p =.035). W2 cannabis use and alcohol use, respectively, were related to W3 depressive symptoms (cannabis: β = 0.09, SE = 0.02, p <.001; alcohol: β = 0.06, SE = 0.02, p =.002). No other cross-lagged associations were significant. Intervention efforts targeting depression and substance use should explicitly address the potential for onset and escalation of substance use and depressive symptoms, respectively, especially during societal stressors.