Associations between sexual-harassment victimization and emotional problems are well-established. Still, the nature of this association, including the temporal order of the construct as well as whether it plays out on the between- or within-individual level is far from being understood. The aim of this study was to examine reciprocal links between sexual harassment victimization and emotional problems over time in early and mid-adolescence by separating between-individual from within-individual effects and by testing the moderating effect of ethnicity and gender. In the study, we made use of three waves of data with 1515 Swedish adolescents (50.6% girls, age 12.59 years at T1). Cross-lagged within-individual analyses showed that sexual harassment and emotional problems were related in a transactional manner. Gender, but not ethnicity, moderated the associations. The associations differed in early and mid-adolescence, perhaps because of normative school transitions. The findings have high theoretical value as it is on the within-individual level that the causal processes between being sexually harassed and experiencing emotional problems unfold. The study makes a unique contribution to the literature on sexual harassment and mental health among young people by revealing transactional associations on the within-individual level during a critical period for psychological and sexual development.