The present study examines the relationship between neurocognitive functioning and affective problems through adolescence, in a cross-sectional and longitudinal perspective. Baseline response speed, response speed variability, response inhibition, attentional flexibility and working memory were assessed in a cohort of 2,179 adolescents (age 10-12 years) from the TRacking Adolescents' Individual Lives Survey (TRAILS). Affective problems were measured with the DSM-oriented Affective Problems scale of the Youth Self Report at wave 1 (baseline assessment), wave 2 (after 2.5 years) and wave 3 (after 5 years). Cross-sectionally, baseline response speed, response time variability, response inhibition and working memory were associated with baseline affective problems in girls, but not in boys. Longitudinally, enhanced response time variability predicted affective problems after 2.5 and 5 years in girls, but not in boys. Decreased response inhibition predicted affective problems after 5 years follow-up in girls, and again not in boys. The results are discussed in light of recent insights in gender differences in adolescence and state-trait issues in depression.