AbstractOrganized activities can provide a conducive context for various social processes that may prevent internalizing problems. Some types of organized activities, such as team sports, seem particularly favorable to these positive experiences. The aim of this 4‐year longitudinal study is to describe the changes in the feeling of social integration into the organized activity peer group and to examine whether this social process predicts depressive symptoms in adolescence. Team sports also are proposed to promote a high sense of social integration. A total of 292 adolescents (62% female) were followed annually from ages 14 to 17. The type of main organized activity practiced and the feeling of social integration into the activity peer group was measured each year. Depressive symptoms were self‐reported at the beginning and end of this period. Latent growth analyses showed that social integration into the organized activity peer group was high and decreasing during adolescence. Social integration was higher in team sports compared to individual sports and non‐sport activities as a whole. Finally, a high and sustained level of social integration during adolescence was associated with a low level of depressive symptoms at the end of adolescence, controlling for important covariates. These results suggest that organized activities, particularly team sports, provide a favorable context for developing a feeling of social integration, and that this may protect against depressive symptoms.