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Self-regulation involves individuals’ abilities to control their emotions, attention, and behaviors so that they may persevere and thus attain short- or long-term goals (Gestsdottir & Lerner, 2008; Moilanen & DeLong, 2018). Self-regulation is important because it is associated with a reduction in problem behaviors and an increase in positive outcomes (Moilanen & DeLong, 2018). Recently, scholars have emphasized the multidimensionality of self-regulation, as well as the need for research that clarifies patterns of growth in, correlates of, and potential sex differences in different dimensions of self-regulation. With this in mind, the current study aimed to assess longitudinal growth in behavioral, cognitive, and emotional self-regulation from age 12 to age 19, as well as links between these patterns of growth and depression, externalizing behavior, and prosocial behavior at age 20. A second goal was to examine whether these patterns of growth and associations with distal outcomes varied by sex. Generally speaking, results revealed behavioral, cognitive, and emotional self-regulation follow distinct trajectories from early to late adolescence. In addition, trajectories of cognitive and emotional self-regulation varied by sex. More specifically, behavioral self-regulation was fairly stable from age 12 to age 19. Cognitive self-regulation was stable from age 12 to 15 and then increased from age 15 to age 19; girls reported steeper gains than males in middle and late adolescence. Emotional self-regulation steadily increased for both girls and boys, though girls reported initially higher levels of this construct and also had steeper increases over time. In addition, dimensions of self-regulation were differentially related to depression, externalizing behavior, and prosocial behavior. Higher initial levels of and positive growth in behavioral self-regulation were related to lower levels of depression and externalizing behavior. Higher initial levels of cognitive self-regulation were related to lower levels of depression and externalizing behavior; while higher initial levels of and positive growth in cognitive self-regulation were related to higher levels of prosocial behavior. Higher initial levels of emotional self-regulation were related to decreased externalizing behavior and increased prosocial behavior; and initial levels of and positive growth in emotional self-regulation were related to lower levels of depression. Findings will better inform researchers interested in self-regulation, field workers who run intervention programs that focus on fostering self-regulatory capabilities in adolescents, as well as policy makers concerned with funding programs that promote positive youth development.