Altered functioning of the hypothalamic–pituitary–adrenal (HPA) axis is a robust correlate of major depression in adults, and to a lesser extent, in adolescents. Premorbid differences in HPA axis function have been found to prospectively predict the onset of adolescent depression. To what extent might our knowledge of HPA axis function in adolescents with, or at risk for, depression, help guide efforts to prevent depression in this age group? We review evidence regarding the role of the HPA axis in the development of adolescent depression, and examine whether and which HPA axis measures might be useful in guiding prevention efforts as (a) as a criterion by which to select youth at risk for depression, (b) as a predictor of which youth will be most responsive to prevention efforts, and (c) as an indicator of whether prevention/intervention efforts are working. We conclude that our current understanding of the HPA axis, and its measurement, in adolescent depression are not sufficiently precise to be of immediate practical use in improving prevention efforts. Incorporating HPA axis measures into prevention studies, however, would be immensely useful in clarifying the role of the HPA axis in adolescent depression, such that future prevention efforts might more confidently rely on HPA axis information.