Alterations in hypothalamic–pituitary–adrenal (HPA) axis functioning have been associated with major depression disorder (MDD) and some anxiety disorders. Few researchers have tested the possibility that high levels of recent life stress or elevations in negative emotion may partially account for the HPA axis alterations observed in these disorders. In a sample of 300 adolescents from the Youth Emotion Project, we examined associations between MDD and anxiety disorders, dimensional measures of internalizing symptomatology, life stress, mood on the days of cortisol testing, and HPA axis functioning. Adolescents with a past MDD episode and those with a recent MDD episode comorbid with an anxiety disorder had flatter diurnal cortisol slopes than adolescents without a history of internalizing disorders. Higher reports of general distress, a dimension of internalizing symptomatology, were also associated with flatter slopes. Negative emotion, specifically sadness and loneliness, was associated with flatter slopes and partially accounted for the associations between comorbid MDD and anxiety disorders and cortisol. The associations between past MDD and cortisol slopes were not accounted for by negative emotion, dimensional variation in internalizing symptomatology, or levels of life stress, indicating that flatter cortisol slopes may also be a “scar” marker of past experiences of MDD.