This study investigated whether major depression in adolescence is characterized by neurocognitive deficits in attention, affective decision making, and cognitive control of emotion processing. Neuropsychological tests including the Wechsler Abbreviated Scale of Intelligence, the Continuous Performance Test–Identical Pairs, the Attention Network Test, the Iowa Gambling Task, the Emotional Go-NoGo Task, and the Face Go-NoGo Task were administered to adolescents with Major Depressive Disorder (MDD) (n = 31) and psychiatric diagnosis free controls (n = 30). Findings indicated that compared with controls, depressed adolescents exhibited impaired sustained attention; a gender by group interaction on affective decision making such that depressed males tended to make less advantageous choices on the IGT; and an inverse pattern of correlations between depressive symptom counts and reaction time to affective stimuli, characterizing greater affective reactivity in depressed adolescents. Findings demonstrate that adolescents with MDD display selective neurocognitive impairments on tasks capturing ‘cool’ and ‘hot’ executive functioning.