Suicidality in youth is a major public health problem and objective methods for identifying those at greatest risk are critically needed. Suicidality has been associated with alterations in reward-related decision-making, but the extent to which measures of reward responsiveness (RR) can differentiate youth with and without suicidality in clinical samples remains unclear. We examined reliable and accessible neurophysiological (i.e., reward positivity [RewP] event-related potential) and self-report (Behavioral Activation System subscales) measures of RR in relation to active suicidality in 58 clinically depressed adolescents (14- to 18-year-olds). Logistic regression analysis indicated that active suicidality in depressed adolescents was associated with heightened RR at both the self-report and neurophysiological levels. A relatively more positive RewP to win and a more negative RewP to loss uniquely predicted active suicidality beyond demographic, clinical, and self-report measures. Results support the utility of neurophysiological measures in differentiating clinically depressed adolescents with and without suicidality. Although depression is commonly characterized by reduced RR, depressed adolescents with active suicidality exhibited relatively enhanced neural responses to reward and loss feedback. Results highlight the need for consideration of heterogeneity in RR in depression and research on personalized depression treatment. © 2020 Wiley Periodicals, Inc.