This study used a person-centered approach to identify subgroups of adolescents who are at risk for depression and suicidal ideation. Latent class analysis was first applied to 1,290 adolescents from a Canadian cohort study in order to identify latent vulnerability subtypes based on 18 psychosocial vulnerability factors. Logistic regression analyses were conducted to study the associations between class membership and depressive symptoms and suicidal ideation 2 years later. The moderating role of sex in the associations between latent classes and depressive symptoms was explored. Five latent classes were identified: Low Vulnerability (42%), Substance Use Only (13%), Moderate Vulnerability (28%), Conduct Problems (8%) and High Vulnerability (9%). Compared with the Low Vulnerability class, the probabilities of presenting depressive symptoms were higher for the Substance Use Only class, OR = 1.93, 95% CI [1.21, 3.06], the Moderate Vulnerability class, OR = 2.96, 95% CI [2.09, 4.20], the Conduct Problems class, OR = 3.03, 95% CI [1.84, 4.98], and the High Vulnerability class, OR = 5.4, 95% CI [3.42, 8.53]. Furthermore, interaction effects with sex were identified in relation to depressive symptoms only. The probability of presenting suicidal ideation was higher only for the High Vulnerability class, OR = 4.51, 95% CI [2.41, 8.43]. This study highlights the importance of a person-centered perspective that considers both vulnerability subtypes and sex because these associations are complex rather than linear or additive.