Compared to female major depressive disorder (MDD), male MDD often receives less attention. However, research is warranted since there are significant sex differences in the clinical presentation of MDD and a higher rate of suicide in depressed men. To the best of our knowledge, this is the first functional magnetic resonance imaging (fMRI) study with a large sample addressing putative sex differences in MDD during adolescence, a period when one of the most robust findings in psychiatric epidemiology emerges; that females are twice as likely to suffer from MDD than males. Twenty-four depressed and 10 healthy male adolescents, together with 82 depressed and 24 healthy female adolescents, aged 11–18  years, undertook an affective go/no-go task during fMRI acquisition. In response to sad relative to neutral distractors, significant sex differences (in the supramarginal gyrus) and group-by-sex interactions (in the supramarginal gyrus and the posterior cingulate cortex) were found. Furthermore, in contrast to the healthy male adolescents, depressed male adolescents showed decreased activation in the cerebellum with a significant group-by-age interaction in connectivity. Future research may consider altered developmental trajectories and the possible implications of sex-specific treatment and prevention strategies for MDD.