Household economic adversity during adolescence is hypothesized to be a risk factor for poor mental health later in life. To test this hypothesis, we conducted a quasi-experimental analysis of an economic shock, the Great Recession of 2007-2009. We tested if going through adolescence during the Great Recession was associated with increased risk of major depressive episodes (MDE) and mental health treatment in young adulthood with potential moderation by household poverty to explore differences by economic adversity. We analyzed data on young adults age 18-29years from the 2005-2019 National Survey on Drug Use and Health (N = 145,394). We compared participants who were adolescents during the recession to those followed-up prior to the recession. Regression analysis tested effect modification by household poverty status. Adolescent exposure to the Great Recession was associated with higher likelihood of MDE during young adulthood (aOR = 1.30, 95% CI = 1.23, 1.37); there was no relationship with mental health treatment. Effects on MDE were stronger among those in households with higher incomes compared to those living in poverty. Findings support the hypothesis that exposure to the Great Recession during adolescence may have increased risk for MDE, but raise questions about whether the mechanism of this association is economic distress.