Abstract Objective The study explored the prospective relations between depression and approach‐avoidance achievement goals of undergraduate students in China. Methods 2473 full‐time undergraduates reported their depression and achievement goals annually from the freshman to the senior year. Data were analysed using descriptive statistics, correlation analysis and cross‐lagged models. Results Students' achievement goals decreased gradually during the first 3 years but rose in the fourth year, and the avoidance goals appeared to be less prevalent than the approach goals over time. Depression was negatively associated with approach goals, whereas positively correlated with avoidance goals. Depression in the freshman and sophomore years resulted in more avoidance goals 1 year later, and the depressive problems in the junior year predicted the decline of approach goals in the senior year. Conclusions The present study highlighted the deleterious effects of depression on the achievement goals of college students.