Young people experiencing their first onset of depression are a group at risk of relapse and recurrence to whom early intervention and prevention efforts should be targeted. Despite the argument for a significant research effort addressing these issues, the evidence regarding optimal intervention strategies for first episodes is lacking. Cognitive behaviour therapy is an effective approach to treatment and relapse prevention among depressed adolescents, and is likely to be an important component of any evidenced-based approach to early intervention. Antidepressants are not recommended as first-line treatment for most first episodes of depression. The role that they may play in patients with severe depression, or those who do not respond to psychological therapies, requires further evaluation. Given the high prevalence of depressive disorders, and the significant burden of disease they represent within our community, early intervention in depressive disorders is a critical research agenda for the future.