Integrative, multilevel approaches investigating neurobiological systems relevant to threat detection promise to advance understanding of the pathophysiology of major depressive disorder (MDD). In this study we considered key neuronal and hormonal systems in adolescents with MDD and healthy controls (HC). The goals of this study were to identify group differences and to examine the association of neuronal and hormonal systems. MDD and HC adolescents (N = 79) aged 12–19 years were enrolled. Key brain measures included amygdala volume and amygdala activation to an emotion face-viewing task. Key hormone measures included cortisol levels during a social stress task and during the brain scan. MDD and HC adolescents showed group differences on amygdala functioning and patterns of cortisol levels. Amygdala activation in response to emotional stimuli was positively associated with cortisol responses. In addition, amygdala volume was correlated with cortisol responses, but the pattern differed in depressed versus healthy adolescents, most notably for unmedicated MDD adolescents. The findings highlight the value of using multilevel assessment strategies to enhance understanding of pathophysiology of adolescent MDD, particularly regarding how closely related biological threat systems function together while undergoing significant developmental shifts.