The prevalence of depressive disorder among adolescents is rising, causing serious harm to families and society. Examining risk behaviors such as gaming addiction, non-suicidal self-injury, and suicidal behaviors resulting from adolescent depressive disorder in light of psychosocial and pathophysiological perspectives, along with in-depth exploration of diagnostic and therapeutic dilemmas—including insidious onset, high comorbidity, and difficulties in differential diagnosis—helps build a multidimensional intervention system encompassing psychological, pharmacological, and physical therapies. It also provides a theoretical basis for promoting multicenter cohort studies and establishing a comprehensive prevention and control model linking families, schools, and hospitals. This paper systematically outlines the current epidemiological status, comorbidity spectrum, and clinical pathways for early identification and comprehensive intervention in adolescent depressive disorder.