Background: To investigate whether recent first episode major depression in adolescence is characterised by selected executive difficulties in attentional flexibility, behavioural inhibition and decision-making. Methods: Selected executive functions were compared in adolescents with recent (past year) first episode major depression (n = 30) and community controls (n = 49). Three computerised tests within the CANTAB battery were completed by all subjects (the Intra-Dimensional, Extra-Dimensional Set-Shifting task, the Affective Go, No-Go task, and the Decision-Making task). Results: Compared with controls, recently depressed cases displayed a bias towards negative stimuli with fewer errors on sad words as well as being more accurate in their responses to sad targets on the Affective Go, No-Go task. Cases also made faster decisions in the context of betting more of their available points compared to controls, as indexed by the Decision-Making task. These results were not influenced by age, gender, IQ, recent mood, severity of depression, medication or comorbidity. Conclusions: Adolescents with recent first episode major depression show greater attention towards sad stimuli and more impulsive behaviour when making decisions. They were able to switch attentional set to neutral stimuli. This study demonstrates that computerised tests for measuring executive functions can be successfully deployed in adolescents, and suggests that specific patterns of neuropsychological functions may be relatively compromised in first episode major depression. These, together with their underlying neural substrates, deserve further investigation within this age range.