Prior studies provide limited and contradictory evidence regarding sex differences in the incidence of depression during adolescence, a critical period for development of the disorder. Data from six consecutive years (2009-2014) of a national survey of US adolescents aged 12-17 (N=101 685) are used to characterize sex differences in the incidence of depression by age and to compare recent first-onset and persistent depression with respect to impairment, suicide attempts, conduct problems and academic functioning. Projecting from age-specific incidence proportions, the cumulative incidence of depression between the ages of 12 and 17 is 13.6% among male and 36.1% among female subjects. The sex difference in incidence is significant at the age of 12 years (5.2% in female versus 2.0% in male subjects, P<0.0001), and it is significantly larger at ages of 13 through 17 years than at the age of 12 years (P-values<0.05). Depression-related impairment is lower in recent first-onset than in persistent depression among female but not among male subjects. The prevalence of conduct problems and poor academic functioning is higher in both recent first-onset and persistent depression relative to those with no depression for both male and female subjects. The incidence of depression during adolescence is higher than that suggested by prior studies based on retrospective recall. Contrary to prior studies, evidence suggests that the sex difference in depression originates during childhood and grows in magnitude during adolescence. High levels of impairment, suicide attempts, conduct problems and poor academic functioning argue against a 'wait and see' approach to clinical treatment of recent first-onset depression.