To determine whether adolescents with major depressive disorder have disturbances in their cellular immunity and to study whether the immunological changes detected are specific to depression or are general responses to stress. Twenty subjects with major depressive disorder, 17 nondepressed subjects with conduct disorder, and 17 normal adolescents were recruited. Subjects were assessed with a clinical interview for DSM-III-R and a modified version of the Coddington Life Events Checklist. Blood samples were drawn for total white blood cells, lymphocytes subsets, natural killer cell activity, lymphocyte proliferation response to phytohemagglutinin, and cortisol plasma levels. Overall, there were no significant between-group differences in any of the cellular immune measurements. Natural killer cell activity was significantly negatively correlated with past year and lifetime adverse life events across all effector-target cell ratios. Controlling for diagnoses and socioeconomic status yielded similar results. There were no significant effects of age, sex, race, sleep, nutrition, cigarette use, menstrual cycle, or cortisol on any of the immunological variables. In this sample of adolescents, we found that independent of the diagnoses and socioeconomic status, increases in adverse life events were associated with low natural killer cell activity.