Abstract Study Objectives Major depressive disorder (MDD) in adolescence is associated with irregularities in circadian rhythms and sleep. The characterization of such impairment may be critical to design effective interventions to prevent development of depression among adolescents. This study aimed to examine self-reported and actimetry-based circadian rhythms and sleep–wake behavior associated with current MDD and high risk (HR) for MDD among adolescents. Methods Ninety-six adolescents who took part in the IDEA-RiSCo study were recruited using an empirically developed depression-risk stratification method: 26 classified as low risk (LR), 31 as HR, and 39 as a current depressive episode (MDD). We collected self-report data on insomnia, chronotype, sleep schedule, sleep hygiene as well as objective data on sleep, rest-activity, and light exposure rhythms using actimetry for 10 days. Results Adolescents with MDD exhibited more severe insomnia, shorter sleep duration, higher social jetlag (SJL), lower relative amplitude (RA) of activity, and higher exposure to artificial light at night (ALAN) compared with the other groups. They also presented poorer sleep hygiene compared with the LR group. The HR group also showed higher insomnia, lower RA, higher exposure to ALAN, and higher SJL compared with the LR group. Conclusions HR adolescents shared sleep and rhythm alterations with the MDD group, which may constitute early signs of depression, suggesting that preventive strategies targeting sleep should be examined in future studies. Furthermore, we highlight that actimetry-based parameters of motor activity (particularly RA) and light exposure are promising constructs to be explored as tools for assessment of depression in adolescence.