In adults with major depressive disorder (MDD), a dysfunction between the hypothalamus-pituitary-adrenal (HPA) and the hypothalamus-pituitary-thyroid (HPT) axis has been shown, but the interaction of both axes has not yet been studied in adolescent major depressive disorder (MDD). Data from 273 adolescents diagnosed with MDD from two single center cross-sectional studies were used for analysis. Serum levels of thyrotropin (TSH), free levothyroxine (fT4), and cortisol were determined as indicators of basal HPT and HPA axis functioning and compared to that of adolescent controls by t-tests. Quantile regression was employed in the sample of adolescents with MDD to investigate the relationship between both axes in the normal as well as the pathological range of cortisol levels, considering confounders of both axes. In adolescent MDD, cortisol levels and TSH levels were significantly elevated in comparison to controls (p = <.001, d = 1.35, large effect size, and p = <.001, d = 0.79, moderate effect size, respectively). There was a positive linear relationship between TSH and cortisol (p = .003, d = 0.25, small effect size) at the median of cortisol levels (50^th percentile). However, no relationship between TSH and cortisol was found in hypercortisolemia (cortisol levels at the 97.5^th percentile). These findings imply that HPT and HPA axis dysfunction is common in adolescents with MDD and that function of both axes is only loosely related. Moreover, the regulation of the HPA and HPT axis are likely subjected to age-related maturational adjustments since findings of this study differ from those reported in adults.