Introduction: Burnout and engagement are pivotal for adolescents' well-being and have received extensive attention in the educational literature. However, less is known about how these factors develop and interact within and between school and sport when adolescent athletes follow dual (school and sport) careers. The aim of this study was to examine the reciprocal relationship between engagement and burnout in school and sport through a cross-lagged analysis of longitudinal associations. Methods: A sample of 165 Finnish adolescent athletes (aged 14.5 years, 48.9% girls) enrolled in lower secondary sport schools (i.e., junior high schools) participated in a survey in spring 2019 (i.e., in Grade 8) and 1 year later, in spring 2020 (i.e., in Grade 9). Results: Engagement and burnout had significant autoregressive relationships within school and sport. Furthermore, low levels of sport engagement in Grade 8 predicted sport burnout in Grade 9, and low levels of school burnout in Grade 8 predicted school engagement in Grade 9. Regarding cross-domain effects, high levels of school engagement in Grade 8 predicted low levels of sport engagement in Grade 9. Conclusions: The study shows that school and sport are distinct domains with unique associations between engagement and burnout in each domain. It also shows that adolescent athletes may maintain high school engagement by reducing their sport engagement. These findings highlight the need for sport school practitioners to develop intervention programs to address adolescents' school and sport needs and to support their holistic well-being.