The prevalence of depression increases substantially during adolescence. Several predictors of major depressive disorder have been established, but their predictive power is limited. In the current study, the feedback negativity (FN), an event-related potential component elicited by feedback indicating monetary gain versus loss, was recorded in 68 never-depressed adolescent girls. Over the following 2 years, 24% of participants developed a major depressive episode (MDE); illness onset was predicted by blunted FN at initial evaluation. Lower FN amplitude predicted more depressive symptoms during the follow-up period, even after controlling for neuroticism and depressive symptoms at baseline. This is the first prospective study to demonstrate a link between a neural measure of reward sensitivity and the first onset of an MDE. The current results suggest that low reward sensitivity may be an important factor in the development of depression.