Depression is a major cause of disability and mortality for young people worldwide and is typically first diagnosed during adolescence. In this work, we present a machine learning framework to predict adolescent depression occurring between ages 12 and 18 years using environmental, biological, and lifestyle features of the child, mother, and partner from the child's prenatal period to age 10 years using data from 8467 participants enrolled in the Avon Longitudinal Study of Parents and Children (ALSPAC). We trained and compared several cross-sectional and longitudinal machine learning techniques and found the resulting models predicted adolescent depression with recall (0.59 ± 0.20), specificity (0.61 ± 0.17), and accuracy (0.64 ± 0.13), using on average 39 out of the 885 total features (4.4%) included in the models. The leading informative features in our predictive models of adolescent depression were female sex, parental depression and anxiety, and exposure to stressful events or environments. This work demonstrates how using a broad array of evidence-driven predictors from early in life can inform the development of preventative decision support tools to assist in the early detection of risk for mental illness.