Research suggests that genetic variants linked to hypothalamic-pituitary-adrenal (HPA)-axis functioning moderate the association between environmental stressors and depression, but examining gene–environment interactions with single polymorphisms limits power. The current study used a multilocus genetic profile score (MGPS) approach to measuring HPA-axis–related genetic variation and examined interactions with acute stress, chronic stress, and childhood adversity (assessed using contextual threat interview methods) with depressive symptoms as outcomes in an adolescent sample (ages 14–17, N = 241; White subsample n = 192). Additive MGPSs were calculated using 10 single nucleotide polymorphisms within HPA-axis genes (CRHR1, NR3C2, NR3C1, FKBP5). Higher MGPS directly correlated with adolescent depressive symptoms. Moreover, MGPS predicted stronger associations between acute and chronic stress and adolescent depressive symptoms and also moderated the effect of interpersonal, but not noninterpersonal, childhood adversity. Gene–environment interactions individually accounted for 5%–8% of depressive symptom variation. All results were retained following multiple test correction and stratification by race. Results suggest that using MGPSs provides substantial power to examine gene–environmental interactions linked to affective outcomes among adolescents.