There is preliminary evidence that adrenal steroids other than cortisol may be valuable biomarkers for major depressive disorder (MDD). So far, studies have been conducted in adults only, and conclusions are limited, mainly due to small sample sizes. Therefore, the present study assessed whether adrenal steroids serve as biomarkers for adolescent MDD. In 261 depressed adolescents (170 females) treated at a single psychiatric hospital, serum adrenal steroids (progesterone, 17-hydroxyprogesterone, 21-deoxycortisol, 11-deoxycortisol, cortisol, cortisone, deoxycorticosterone, corticosterone) were determined by liquid chromatography-tandem mass spectrometry. Findings were compared to that of an age- and sex-matched reference cohort (N = 255) by nonparametric analysis of variance. Nonparametric receiver operating characteristics (ROC) analyses were conducted to evaluate the diagnostic performance of single steroids and steroid ratios to classify depression status. Sensitivity analyses considered important confounders of adrenal functioning, and ROC results were verified by cross-validation. Compared to the reference cohort, levels of deoxycorticosterone and 21-deoxycortisol were decreased (P < 0.001). All other glucocorticoid- and mineralocorticoid-related steroids were increased (P < 0.001). The corticosterone to deoxycorticosterone ratio evidenced excellent classification characteristics, especially in females (AUC: 0.957; sensitivity: 0.902; specificity: 0.891). The adrenal steroid metabolome qualifies as a bio-readout reflecting adolescent MDD by a distinct steroid pattern that indicates dysfunction of the hypothalamus–pituitary–adrenal axis. Moreover, the corticosterone to deoxycorticosterone ratio may prospectively qualify to contribute to precision medicine in psychiatry by identifying those patients who might benefit from antiglucocorticoid treatment or those at risk for recurrence when adrenal dysfunction has not resolved.