This study utilized a multi-method approach (self-reported affect, observed behavior, and psychophysiology) to investigate differences between clinically depressed and non-depressed adolescents across three different affective interaction contexts with their parents. 152 adolescents (52 males, 14–18 y.o.), and their parents, participated in a laboratory session in which they discussed positive and negative aspects of their relationship, and reminisced on positive and negative memories. We found that across contexts depressed adolescents exhibited higher negative affect and behaviors, lower positive behaviors, and greater autonomic and sympathetic activity. Context specific findings indicated that depressed adolescents 1) exhibited greater persistence of negative affect and dysphoric behavior across the sequence of tasks, whereas these phenomena declined amongst their non-depressed peers, 2) depressed adolescents had greater increases in aggressive behaviors during negative interactions, and 3) depressed adolescents had greater parasympathetic withdrawal during negative interactions, while this response characterized the non-depressed group during positive interactions.