The greater burden of illness in youth with co-occurring attention-deficit/hyperactivity disorder (ADHD) and major depressive disorder (MDD) deserves further investigation, specifically regarding the influence of other psychiatric or medical conditions and the pharmacotherapies prescribed. A retrospective cohort design was employed, using South Carolina’s (USA) Medicaid claims’ dataset covering outpatient and inpatient medical services, and medication prescriptions between January, 1996 and December, 2006 for patients ≤17 years of age. The cohort included 22,452 cases diagnosed with ADHD at a mean age 7.8 years; 1,259 (5.6 %) cases were diagnosed with MDD at a mean age of 12.1 years. The probability of a child with ADHD developing MDD was significantly associated with a comorbid anxiety disorder (aOR = 3.53), CD/ODD (aOR = 3.45), or a substance use disorder (aOR = 2.31); being female (aOR = 1.77); being treated with pemoline (aOR = 1.69), atomoxetine (aOR = 1.31), or mixed amphetamine salts (aOR = 1.28); a comorbid obesity diagnosis (aOR = 1.29); not being African American (aOR = 1.23), and being older at ADHD diagnosis (aOR = 1.09). Those developing MDD also developed several comorbid disorders later than the ADHD-only cohort, i.e., conduct disorder/oppositional-defiant disorder (CD/ODD), at mean age of 10.8 years, obesity at 11.6 years, generalized anxiety disorder at 12.2 years, and a substance use disorder at 15.7 years of age. Incident MDD was more likely in individuals clustering several demographic, clinical, and treatment factors. The phenotypic progression suggested herein underscores the need for coordinated early detection and intervention to prevent or delay syndromal MDD, or to minimize its severity and associated impairment over time.