Depression is common during adolescence. Early intervention can prevent it from developing into more progressive mental disorders. Combining information technology and clinical psychoeducation is a promising way to intervene at an earlier stage. However, data-driven research on the cognitive response to health information targeting adolescents with symptoms of depression is lacking. This study aimed to fill this knowledge gap through a new understanding of adolescents' cognitive response to health information about depression. This knowledge can help to develop population-specific information technology, such as chatbots, in addition to clinical therapeutic tools for use in general practice. The data set consists of 1870 depression-related questions posted by adolescents on a public web-based information service. Most of the posts contain descriptions of events that lead to depression. On a sample of 100 posts, we conducted a qualitative thematic analysis based on cognitive behavioral theory investigating behavioral, emotional, and symptom responses to beliefs associated with depression. Results were organized into four themes. (1) Hopelessness, appearing as a set of negative beliefs about the future, possibly results from erroneous beliefs about the causal link between risk factors and the course of depression. We found beliefs about establishing a sturdy therapy alliance as a responsibility resting on the patient. (2) Therapy hesitancy seemed to be associated with negative beliefs about therapy prognosis and doubts about confidentiality. (3) Social shame appeared as a consequence of impaired daily function when the cause is not acknowledged. (4) Failing to attain social interaction appeared to be associated with a negative symptom response. In contrast, actively obtaining social support reduces symptoms and suicidal thoughts. These results could be used to meet the clinical aims stated by earlier psychoeducation development, such as instilling hope through direct reattribution of beliefs about the future; challenging causal attributions, thereby lowering therapy hesitancy; reducing shame through the mechanisms of externalization by providing a tentative diagnosis despite the risk of stigmatizing; and providing initial symptom relief by giving advice on how to open up and reveal themselves to friends and family and balance the message of self-management to fit coping capabilities. An active counseling style advises the patient to approach the social environment, demonstrating an attitude toward self-action.