Depression has been associated with subclinical hypothyroidism and altered hypothalamic-pituitary-thyroid axis functioning. Adequate iodine nutrition is essential for healthy thyroid functioning. We therefore determined associations of iodine and thyroid status with paediatric major depressive disorder (pMDD) among Swiss adolescents and explored whether associations are sex-specific and mediated by stress. We conducted a matched case–control study in 95 adolescents with diagnosed pMDD and 95 healthy controls. We assessed depression severity using the Children’s Depression Rating Scale-Revised and stress using the perceived stress scale (PSS) and measuring hair cortisol levels. We determined iodine status by measuring urinary iodine concentrations (UIC) and thyroid status by thyroid-stimulating hormone (TSH) and free thyroxine (FT4) in serum. Median (IQR) UIC did not differ between cases (121 (87, 174) µg/l) and controls (114 (66, 183) μg/l, P = 0·3). Median TSH and FT4 were lower in cases than controls (TSH: 1·36 (0·91, 2·00) mlU/l v. 1·50 (1·18, 2·06) mlU/l, P = 0·039; FT4: 14·7 (12·9, 16·9) pmol/l v. 15·7 (14·3, 17·2) pmol/l, P = 0·004). The prevalence of hypothyroxinaemia (normal TSH; low FT4) was higher among female cases than controls (21 % v. 4%, P = 0·006). PSS scores were higher while hair cortisol was lower in cases than controls (PSS: 25 (20, 28) v. 11 (7, 15), P < 0·001; cortisol: 2·50 (1·34, 3·57) pg/mg v. 3·23 (1·79, 4·43) pg/mg, P = 0·044). After adjusting for confounders, the associations of TSH and hair cortisol with pMDD were no longer significant. Furthermore, TSH and FT4 were not associated with PSS scores and hair cortisol levels. Summarising, iodine nutrition was adequate for adolescents with and without pMDD. However, FT4 concentrations were lower in those with pMDD, and 1 in 5 female adolescents with pMDD were hypothyroxinaemic.