Depression and alcohol use are highly comorbid, and often emerge during adolescence. Depressive symptoms may precede alcohol use, via the self-medication pathway, or alcohol use may precede depressive symptoms, via the alcohol induced disruption pathway. Yet little is known about other risks for developing comorbidity via either path. The present study hypothesized that poor cognitive and physiological emotion regulation (ER) are risk factors implicated in the development of comorbid depression and alcohol use during late adolescence. Participants were 229 (113 girls) Mexican-origin youth who reported on depressive symptoms and alcohol use at ages 17 (Time 1) and 19years (Time 2). At age 17, cognitive reappraisal (CR), an adaptive ER strategy, and baseline respiratory sinus arrhythmia (RSA), a physiological index of ER capacity, were assessed. CR, RSA and gender were examined as predictors and moderators of the developing comorbidity of alcohol use and depression in cross-lagged panel models. Lower use of CR was concurrently associated with more depressive symptoms at age 17 and predicted greater depression at age 19. Age 17 alcohol use predicted age 19 depressive symptoms for boys. Lower RSA at age 17 also predicted more depressive symptoms at age 19 for boys. Neither CR nor RSA moderated the predicted relations between depression and alcohol use. Findings supported the alcohol induced disruption model of comorbidity for boys, and showed that poor cognitive and physiological ER increased risk for exacerbating depressive symptoms in late adolescence.