Deficits within the consummatory phase of reward processing are associated with increased depression symptoms and risk; however, few studies have also examined other aspects of reward processing in relation to depression. In the current study, a community sample of 121 adolescents (Mage = 13.1, Min = 11.14; Max = 15.12; 54% male) completed self‐report questionnaires to assess depressive symptoms and the monetary incentive delay (MID) task while EEG was recorded. Results indicated that a reduced cue‐P300 as well as a reduced reward positivity (RewP) and feedback negativity (FN) to gain and loss feedback, respectively, were associated with increased depressive symptoms; on the other hand, SPN and feedback P300 were unrelated to depressive symptoms. An exploratory multiple regression analysis revealed that a reduced money cue‐P300, a reduced RewP, and a reduced (i.e., less negative) FN, all explained unique variance in depressive symptoms. The current study demonstrates that reduced cue‐P300, RewP, and FN amplitudes may reflect distinct deficits in reward processing among adolescents with increased depressive symptoms. Notably, this study is one of the first to leverage the MID task in adolescents in relation to depressive symptoms, allowing for a more in‐depth view of the individual differences in reward processing among adolescents with increased depressive symptomatology.