Childhood adversity appears to sensitize youth to stress, increasing depression risk following stressful life events occurring throughout the lifespan. Some evidence suggests hypothalamic–pituitary–adrenal (HPA) axis-related and serotonergic genetic variation moderates this effect, in a “gene-by-environment-by-environment” interaction (G × E × E). However, prior research has tested single genetic variants, limiting power. The current study uses a multilocus genetic profile score (MGPS) approach to capture polygenic risk relevant to HPA axis and serotonergic functioning. Adolescents (N = 241, Mage = 15.90) completed contextual-threat-based interviews assessing childhood adversity and acute life events, and diagnostic interviews assessing depression. Established MGPSs indexed genetic variation linked to HPA axis (10 single nucleotide polymorphisms [SNPs]) and serotonergic (five SNPs) functioning. Results showed significant MGPS × Childhood Adversity × Recent Life Stress interactions predicting depression for both HPA axis and serotonergic MGPSs, with both risk scores predicting stronger Childhood Adversity × Recent Stress interactions. Serotonergic genetic risk specifically predicted sensitization to major interpersonal stressors. The serotonergic MGPS G × E × E was re-tested in an independent replication sample of early adolescent girls, with comparable results. Findings support the notion that genetic variation linked to these two neurobiological symptoms alters stress sensitization, and that gene-by-environment (G × E) interactions may be qualified by environmental exposures occurring at different points in development.