While video games are one of the most common online entertainment activities, Internet gaming disorder (IGD) in adolescents is a critical issue that has become a widely raised public concern. This one-year longitudinal study examined the reciprocal associations between shyness, depression, and IGD symptoms in a sample of Chinese adolescents. A fully cross-lagged panel design was used, in which shyness, depression, and IGD symptoms were assessed at two time points with an interval of one year (T1 and T2). A total of 1,047 junior high school students (504 boys; 543 girls; mean age = 12.45 years) participated in the study. Cross-lagged analysis results indicated a significant positive correlation between shyness, depression, and IGD symptoms, as well as a dynamic and bidirectional relationship between them. Specifically, T1 shyness positively predicted T2 depression symptoms (β = 0.167, p < 0.001), T1 depression symptoms positively predicted T2 shyness (β = 0.141, p < 0.01), and T1 IGD symptoms positively predicted T2 depression symptoms (β = 0.073, p < 0.05). In addition to these findings, gender differences were identified in shyness (T1 and T2), IGD symptoms (T1 and T2), and depression symptoms (T2). The results also indicated that shyness and symptoms of depression could significantly positively predict each other over time, and IGD symptoms could significantly predict depression symptoms. However, depression symptoms could not significantly predict IGD symptoms over the one-year study period, and there was no significant two-way prediction between shyness and IGD symptoms. Thus, this study reveals possible reciprocal associations between shyness, depression, and IGD symptoms in Chinese adolescents and provides insights and suggestions for reducing online gaming addiction among adolescents from the perspective of shyness and depression.