Healthy movement behaviours are associated with various physical and mental wellbeing; however, little is known about such associations in low- and middle-income countries. The aim of this study was to examine adherence to 24-hour (h) movement guidelines and their relationship with depressive symptoms in adolescents. Data were from 312 Bangladeshi adolescents aged 13–17 years (42% female). Meeting the guidelines was defined as: energy expenditure for physical activity (PA) ≥ 1 680 Metabolic Equivalent of Task (MET)-min/week, ≤ 2 h/day of recreational screen time (ST), and 8–10 h/night of sleep. Depressive symptoms were assessed using the 10-item Center for Epidemiological Studies Depression Scale (CESD-10) with a score of 10 or more indicating high depressive symptoms. Percentage of adolescents meeting the three recommendations was 2.2%, with 17.6% meeting two, and 31.2% meeting one recommendation. Generalized estimating equations showed that odds of having high depressive symptoms was a third (odds ratio [OR] = 0.35, 95% confidence interval [CI], 0.19-0.57) for meeting the PA guidelines, and about a half (OR = 0.47, 95%CI, 0.18-0.87) for meeting the sleep guidelines. Odds of depressive symptoms reduced significantly for meeting PA and sleep (OR = 0.20, 95%CI, 0.09-0.59), or PA and ST (OR = 0.24, 95%CI, 0.08-0.55) guidelines. About half of the adolescents did not meet any recommendations, which underscores the need for public health campaigns to promote adherence to the movement guidelines in this pediatric population. Further longitudinal research with larger sample size is recommended to explore the inter-relationships of these behaviours and their impact on health and wellbeing outcomes of adolescents in Bangladesh.