BackgroundThis study aims to develop an artificial neural network (ANN) prediction model incorporating random forest (RF) screening ability for predicting the risk of depression in adolescents and identifies key risk factors to provide a new approach for primary care screening of depression among adolescents.MethodsThe data were from a large cross‐sectional study conducted in China from July to September 2021, enrolling 8635 adolescents aged 10–17 with their parents. We used the Patient health questionnaire (PHQ‐9) to rate adolescent depression symptoms, using scales and single‐item questions to collect demographic information and other variables. Initial model variables screening used the RF importance assessment, followed by building prediction model using the screened variables through the ANN.ResultsThe rate of depression symptoms in adolescents was 24.6%, and the depression risk prediction model was built based on 70% of the training set and 30% of the test set. Ten variables were included in the final prediction model with a model accuracy of 85.03%, AUC of 0.892, specificity of 89.79%, and sensitivity of 70.81%. The top 10 significant factors of depression risk were adolescent rumination, adolescent self‐esteem, adolescent mobile phone addiction, peer victimization, care in parenting styles, overprotection in parenting styles, academic pressure, conflict in parent–child relationship, parental rumination, and relationship between parents.ConclusionsThe ANN model based on the RF effectively identifies depression risk in adolescents and provides a methodological reference for large‐scale primary screening. Cross‐sectional studies and single‐item scales limit further improvements in model accuracy.