Childhood adversity (CA) is known to predict sensitization to proximal stressors. Researchers have suggested that disruptions in hypothalamus–pituitary–adrenal axis functioning may be a biological mechanism. If so, CA may predict altered associations between proximal life stress and markers of cortisol secretion. We examined whether CA moderates associations between recent episodic stress and (a) the cortisol awakening response (CAR), and (b) depressive symptoms, in 241 adolescents aged 14–17 years (cortisol n = 196). Salivary cortisol was sampled at 0, 30, and 60 min postawakening for 2 days. The CAR was calculated as the area under the curve with respect to increase and waking cortisol. CA and episodic stress were assessed using contextual-threat-method-coded objective interviews. CA significantly interacted with episodic stress to predict both the CAR and depression. Among those with low CA, episodic stress predicted increased CAR but did not predict depression. For adolescents with high CA, episodic stress predicted lower CAR and higher depression. These interactions were found only for independent (uncontrollable, fateful) events, and not for dependent (self-generated) stress. Increased allostatic load resulting from CA exposure may interfere with adolescents' ability to optimally regulate their CAR in relation to recent stress, contributing to increased depression risk.