This review examines recent empirical evidence and theoretical models that investigate adolescents' vulnerability to depression. Several lines of research help to approach the following clinical phenomena: adolescent brain development, neural and neurocognitive correlates of adolescent depression, affective regulation and depression onset in adults. Empirical evidence of these trends of research are discussed with reference to two different theoretical models on adolescents' vulnerability to depression. The first model hypothesizes that different maturational timing of cortical and subcortical structures during adolescence exerts an effect on affective regulation. The second model identifies one of the causes of the vulnerability to depression in a temporary suppression of dopaminergic reward system when prefigurated rewards are not obtained.