Major depressive disorder (MDD) often emerges during adolescence with detrimental effects on development as well as lifetime consequences. Identifying neurobiological markers that are associated with the onset or course of this disorder in childhood and adolescence is important for early recognition and intervention and, potentially, for the prevention of illness onset. In this systematic review, 68 longitudinal neuroimaging studies, from 34 unique samples, that examined the association of neuroimaging markers with onset or changes in paediatric depression published up to 1 February 2019 were examined. These studies employed different imaging modalities at baseline; structural magnetic resonance imaging (MRI), diffusion tensor imaging (DTI), functional MRI (fMRI) or electroencephalography (EEG). Most consistent evidence across studies was found for blunted reward-related (striatal) activity (fMRI and EEG) as a potential biological marker for both MDD onset and course. With regard to structural brain measures, the results were highly inconsistent, likely caused by insufficient power to detect complex mediating effects of genetic and environmental factors in small sample sizes. Overall, there were a limited number of samples, and confounding factors such as sex and pubertal development were often not considered, whereas these factors are likely to be relevant especially in this age range.