Background Major depressive disorder often is characterized by a lack of cognitive and emotional flexibility, resulting in an impaired ability to adapt to situational demands. Adolescence is an important period of risk for the first onset of depression, yet relatively little is known about whether aspects of inflexibility, such as rumination and deficits in attentional shifting, could confer risk for the development of the disorder during this time. Method In the present study, a sample of 285 never‐depressed adolescents completed self‐report and behavioral measures of rumination and attentional shifting at a baseline visit, followed by up to 4 years of annual prospective follow‐up diagnostic assessments. Results Survival analyses indicated that adolescents with greater levels of rumination or poorer attentional shifting experienced a shorter time until the first onset of major depressive episodes, even after accounting for baseline symptoms and demographic characteristics. Although girls were twice as likely as boys to experience the first onset of depression, rumination predicted a shorter time until depression onset only for boys. Rumination and attentional shifting were not correlated and predicted time until onset of major depression independently of one another. Conclusions These results provide evidence that components of cognition that are characterized by rigidity and perseveration confer risk for the first onset of major depression during adolescence. Evaluating rumination and attentional shifting in adolescence may be useful in identifying individuals who are at risk for depression and who may benefit from interventions that target or alter the development of these characteristics.