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The literature on the link between adolescent depression (AD) and social withdrawal (SW) is permeated by contradictory findings, with several studies reporting positive, negative, and null associations. We aim to clarify the heterogeneity in existing findings in three steps. First, we conduct a systematic review and meta-analysis of the literature. We focus on studies using Stochastic Actor-oriented Models (SAOMs) as they are designed to estimate the co-evolution of network ties (e.g., friendship nominations) and behavioral outcomes (e.g., AD symptoms), while accounting for peer selection and influence. Second, after finding no systematic evidence of an AD-SW link in the existing SAOM literature, to address possible overfitting issues, we fit our own SAOMs to 174 in-school friendship nomination networks across five countries. Still, we detect no systematic evidence of an AD-SW link. Finally, leveraging the same large cross-national data, we develop theory to unpack the widespread assumption that AD affects tie creation and maintenance in the same way. SAOMs explicitly designed to relax that assumption show that AD positively affects tie creation and negatively affects tie maintenance. That finding clarifies the AD-SW link and helps explain why a link was undetected before.