The aim of the present study is to describe and measure the cognitive emotion regulation strategies of inpatient adolescents with clinical depression, aged 13–18, and to analyse these coping strategies in relation to different comorbidities of Major Depressive Disorder (MDD). Methods: There were 112 adolescents with MDD who were admitted to hospital and 78 healthy adolescents included in the study. The Cognitive Emotion Regulation Questionnaire (CERQ) was used to assess nine specific cognitive coping strategies. A cognitive coping style model for depression in adolescents was described by analysing the differences between the two groups. The CERQ scores in MDD participants, grouped by comorbidity, were also assessed. Results: Adolescents with MDD had significantly higher scores for Self-Blame and Catastrophising strategies, and significantly lower scores for Positive Refocusing, Refocusing on Planning, and Positive Reappraisal. Adolescents with MDD and Borderline Personality Disorder (BPD) traits had significantly higher scores for Rumination, Catastrophising, and Blaming Others than adolescents with MDD and anxiety or with no comorbidity. Conclusions: Clinical depression in adolescents is associated with a cognitive profile that consists of an increased use of maladaptive coping styles and low employment of adaptive strategies. Early identification can contribute to the development of specific, individualised prevention and intervention programmes, while further longitudinal studies are necessary to adequately measure the outcome of these interventions.