Early identification of adolescent depression requires objective biomarkers. This study investigated the functional near-infrared spectroscopy (fNIRS) activation patterns and mismatch negativity (MMN) characteristics in adolescents with first-episode mild-to-moderate depression. We enrolled 33 patients and 33 matched healthy controls, measuring oxyhemoglobin (Oxy–Hb) concentration in the frontal cortex during verbal fluency tasks via fNIRS, and recording MMN latency/amplitude at Fz/Cz electrodes using event-related potentials (ERP). Compared with healthy controls, the depression group showed significantly prolonged MMN latency in [Fz: (227.88 ± 31.08) ms vs. (208.70 ± 25.35) ms; Cz: (223.73 ± 29.03) ms vs. (204.18 ± 22.43) ms, both P < 0.01], and obviously reduced Fz amplitude [(2.42 ± 2.18) μV vs. (5.65 ± 5.59) μV, P = 0.03]. A significant positive correlation was observed between MMN latencies at Fz and Cz electrodes (P < 0.01). Oxy-Hb in left frontopolar prefrontal channels (CH15/17) was significantly decreased in patient group (P < 0.05). Our findings suggest that adolescents with depression exhibit hypofunction in the left prefrontal cortex and impaired automatic sensory processing. The combined application of fNIRS and ERP techniques may provide an objective basis for early clinical identification.