Objective: Grief reactions in bereaved caregivers of cancer patients have been identified individually as distinct prolonged grief disorder (PGD)—and major depressive disorder (MDD)—symptom trajectories, but no research has examined whether the patterns of change (trajectories) for PGD and MDD symptoms synchronize during bereavement. We conducted a secondary analysis study to investigate the construct distinctiveness of PGD and MDD by simultaneously identifying and examining similarities and differences between bereaved caregivers' PGD‐ and depressive‐symptom trajectories from immediately post‐loss through 2 years later. Methods: PGD and depressive symptoms were measured for 849 cancer patients' caregivers over their first 2 years of bereavement using 11 grief‐symptom items of the prolonged grief‐13 scale (PG‐11) and the center for epidemiologic studies‐depression (CES‐D) scale, respectively. PGD‐ and depressive‐symptom trajectories were identified using latent class growth analysis with continuous latent‐class indicators (total PG‐11 and CES‐D scores). Concordance of caregiver participants' membership in PGD‐ and depressive‐symptom trajectories was examined by a percentage and a kappa value. Results: Five distinct symptom trajectories were identified for both PGD and MDD, with four shared trajectories (endurance, transient‐reaction, resilience, and prolonged‐symptomatic) having different prevalence rankings. Nonetheless, unique trajectories were identified for PGD (potential recurrence) and depressive symptoms (chronically distressed), respectively. Concordance between membership in PGD‐ and depressive‐symptom trajectories was moderate (61.3%, kappa [95% CI]: 0.49 [0.44, 0.53]). Conclusion: PGD and MDD are related but distinct constructs indicated by the unique trajectories identified for each, different prevalence rankings for PGD‐ and depressive‐symptom trajectories, and moderate concordance between membership in PGD‐ and depressive‐symptom trajectories, respectively.