The causal beliefs which adults have regarding their mental health difficulties have been linked to help-seeking behaviour, treatment preferences, and the outcome of therapy; yet, the topic remains a relatively unexplored one in the adolescent literature. This exploratory study aims to explore the causal beliefs regarding depression among a sample of clinically referred adolescents. Seventy seven adolescents, aged between 11 and 17, all diagnosed with moderate to severe depression, were interviewed using a semi-structured interview schedule, at the beginning of their participation in a randomised controlled trial. Data were analysed qualitatively using framework analysis. The study identified three themes related to causal beliefs: (1) bewilderment about why they were depressed; (2) depression as a result of rejection, victimisation, and stress; and (3) something inside is to blame. Although some adolescents struggled to identify the causes of their depression, many identified stressful life experiences as the cause of their current depression. They also tended to emphasise their own negative ways of interpreting those events, and some believed that their depression was caused by something inside them. Adolescents’ causal beliefs are likely to have implications for the way they seek help and engage in treatment, making it important to understand how adolescents understand their difficulties.