Puberty is accompanied by a number of changes, among them increased risk for development of major depression. The most common etiology of major depression is stressful life events, being present in approximately 90% of first episodes of depression. The hypothalamic-pituitary-adrenal (HPA) axis is one of the major systems involved in responses to stress, and this system is clearly influenced by ovarian hormones. Normal women demonstrate resistance to negative feedback of both cortisol in the fast-feedback paradigm and dexamethasone in the standard delayed-feedback paradigm. Depressed premenopausal women show greater increases in baseline cortisol than postmenopausal depressed women and than depressed men. Studies in rodents suggest a similar resistance to glucocorticoid feedback but suggest that estradiol can function to inhibit stress responsiveness. Studies of premenopausal depressed women demonstrate lower estradiol, which suggests that there is less inhibitory feedback of estradiol on the HPA axis, while normal progesterone continues to augment stress responses further. The onset of these reproductive hormonal changes modulating stress systems at puberty may sensitize girls to stressful life events, which become more frequent at the transition to puberty and young adulthood.