Abstract Background: Psychoendocrine processes may have a role in explaining individual differences in the outcome of major depression in 8–16-year-old school children. Methods: Salivary cortisol and dehydroepiandrosterone (DHEA) levels at 8:00 am and 8:00 pm, life events, and comorbidity were assessed at presentation, 36, and 72 weeks in 47 (60%) of 78 clinically referred subjects with a first episode of major depression. Comparisons were made between chronic and nonchronic major depression. Results: Chronic depression was characterized by being older, cortisol hypersecretion at 8:00 pm at all three assessments, increasing depression-dependent life events over the follow-up period, and comorbid obsessive-compulsive disorder (OCD) at presentation and at 36 weeks. Chronicity may be best predicted by increasing depression-dependent events over the 72-week period. Such events are more likely in cases with evening cortisol hypersecretion at entry and persistent OCD. Variations in DHEA levels were not associated with chronicity or increasing life events. Conclusions: During adolescence, but not childhood, the persistence of major depression may occur through an increase of risk for further and particular types of depression-dependent undesirable life events (personal disappointments and/or dangers to the self), that are more likely in those subjects with persisting cortisol hypersecretion and unresolved comorbid OCD.