Numerous studies have suggested cognitive deficits as consistently associated with adolescent depression. No study to date, however, has assessed neurocognitive predictors of selective serotonin reuptake inhibitor (SSRI) treatment response in adolescents with depression. This study examined neurocognitive tasks at baseline as predictors of clinical improvement with SSRI treatment (fluoxetine) at week 6 and 12 in an adolescent population. Adolescents with depression were recruited from a child and adolescent psychiatry outpatient clinic at a university medical center. Twenty-four adolescents (mean age 14.8 years) with Major Depressive Disorder completed tasks of the Cambridge Neuropsychological Test Automated Battery, including visual memory, executive functioning, sustained attention, and impulsivity. Depression severity, measured by the Children's Depression Rating Scale-Revised (CDRS-R), was assessed at week 6 and 12 and clinical improvement was defined as percentage (%) change in CDRS-R from baseline. Clinical improvement is noted at both week 6 (mean % change in CDRS-R [M] = 46.8, standard deviation [SD] = 51.9) and week 12 (M = 87.9, SD = 57.2). Results reveal that less difficulty in sustained attention (p = 0.02), lower impulsivity (p = 0.00), and better planning (p = 0.04) at baseline were predictors of greater clinical improvement at week 6. Lower impulsivity at baseline remained significantly predictive of clinical improvement at week 12 (p = 0.01). Neurocognitive assessments could potentially help identify a subset of depressed adolescents who may not respond to conventional SSRI treatment and who may be better candidates for alternative or augmentation treatments.