Prevalence rates of depression are higher in autistic youth than neurotypical peers, yet the effects of autism spectrum disorder diagnosis and sex on depressive symptom severity remain incompletely understood, particularly in specific age groups. Using the Children’s Depression Inventory, Second Edition, this study explored diagnostic- and sex-based differences in depressive symptom severity in a sample of 212 autistic and neurotypical early adolescents (10:0–13:5 years). Significant group differences were found according to autism spectrum disorder diagnosis [ d = 0.587, 95% confidence interval (0.308, 0.867)] and sex [ d = 0.365, 95% confidence interval (0.089, 0.641)], with more depressive symptoms endorsed in the autism spectrum disorder and female groups. However, the interaction of diagnosis and sex was not significant, suggesting an additive risk of autism spectrum disorder status and female sex. Item-level analyses showed diagnostic differences on nearly half of the CDI-2 items with higher severity in the autism spectrum disorder group (Probability of Superiority range = 0.42–0.65), differences within the sexes, and differences by diagnosis, which persisted when limiting analyses to children with high levels of depressive symptoms. A more nuanced understanding of symptom endorsement and the roles of diagnosis and sex may uncover salient intervention targets for depression in the unique context of autism spectrum disorder. Lay abstract Depression is more common in autistic adolescents than their neurotypical peers, but the effects of diagnosis and sex on the severity and types of depressive symptoms remain unclear. The study explored diagnostic- and sex-based differences in depressive symptoms in 212 autistic and neurotypical early adolescents. Results show that autism spectrum disorder and female may pose elevated risks, and depressive symptoms related to interpersonal problems and negative self-esteem are more frequent in autism spectrum disorder. Autistic males and females endorsed similar severity and type of depressive symptoms, but unique differences emerged when compared to sex-matched neurotypical peers. Exploratory analyses in a clinical subsample of early adolescents with elevated depressive symptoms (Children’s Depression Inventory, Second Edition, Total T-score ⩾60) revealed more endorsement of beliefs of worthlessness in autistic early adolescents. Findings suggest initial intervention targets for treating depression in autistic early adolescents.