The biological mechanisms underlying the onset of major depressive disorder (MDD) have predominantly been studied in adult populations from high-income countries, despite the onset of depression typically occurring in adolescence and the majority of the world’s adolescents living in low- and middle-income countries (LMIC). Taking advantage of a unique adolescent sample in an LMIC (Brazil), this study aimed to identify biological pathways characterizing the presence and increased risk of depression in adolescence, and sex-specific differences in such biological signatures. We collected blood samples from a risk-stratified cohort of 150 Brazilian adolescents (aged 14–16 years old) comprising 50 adolescents with MDD, 50 adolescents at high risk of developing MDD but without current MDD, and 50 adolescents at low risk of developing MDD and without MDD (25 females and 25 males in each group). We conducted RNA-Seq and pathway analysis on whole blood. Inflammatory-related biological pathways, such as role of hypercytokinemia/hyperchemokinemia in the pathogenesis of influenza (z-score = 3.464, p < 0.001), interferon signaling (z-score = 2.464, p < 0.001), interferon alpha/beta signaling (z-score = 3.873, p < 0.001), and complement signaling (z-score = 2, p = 0.002) were upregulated in adolescents with MDD compared with adolescents without MDD independently from their level of risk. The up-regulation of such inflammation-related pathways was observed in females but not in males. Inflammatory-related pathways involved in the production of cytokines and in interferon and complement signaling were identified as key indicators of adolescent depression, and this effect was present only in females.