Based on a multiwave, two-year prospective design, this study is the first to examine the extent to which multilocus hypothalamic–pituitary–adrenal axis (HPA axis)-related genetic variants, childhood maltreatment, and recent stress jointly predicted prospective changes in adolescent depressive symptoms. A theory-driven multilocus genetic profile score (MGPS) was calculated to combine the effects of six common polymorphisms within HPA-axis related genes (CRHR1, NR3C1, NR3C2, FKBP5, COMT, and HTR1A) in a sample of Chinese Han adolescents (N = 827; 50.2% boys; Mage = 16.45 ± 1.36 years). The results showed that the three-way interaction of HPA-axis related MGPS, childhood maltreatment and recent interpersonal, but not noninterpersonal, stress significantly predicted prospective changes in adolescent depressive symptoms. For adolescents with high but not low HPA-axis related MGPS, exposure to severe childhood maltreatment predisposed individuals more vulnerable to recent interpersonal stress, exhibiting greater prospective changes in adolescent depressive symptoms. The findings provide preliminary evidence for the cumulative risk mechanism regarding gene-by-environment-by-environment (G × E1 × E2) interactions that underlie the longitudinal development of adolescent depressive symptoms and show effects specific to interpersonal stress.