Stress exposure contributes to the onset, maintenance, and recurrence of Major Depressive Disorder (MDD) in adolescents. However, the precise stress features (e.g., chronicity, domain) most strongly linked to outcomes at different stages along the depression severity continuum remain unclear. Across two studies, we employed a gold-standard contextual stress interview to comprehensively assess stress exposure among: (a) healthy youth with (High-Risk) and without (Low-Risk) a maternal history of MDD and (b) adolescents with current MDD and healthy community controls. In Study 1, compared to Low-Risk, High-Risk status was associated with more severe chronic stress, as well as more severe independent (e.g., a parent’s chronic medical condition) and interpersonal events. In Study 2, more severe interpersonal event threat was uniquely associated with: (a) being depressed (versus non-depressed) and (b) experiencing a recent suicide attempt. Collectively, these results underscore the increased saliency of interpersonal stress in understanding depression and suicide, particularly among adolescents with more severe clinical presentations.