Adolescence is a critical developmental period characterized by heightened levels of depressive and anxiety symptoms. Experiencing chronic or environmental stress, for example, as a result of traumatic events or insensitive parenting, increases the risk for depression and anxiety. However, not all adolescents develop depressive or anxiety symptoms following environmental stressors, due to differences in stress resilience. One of the factors involved in stress resilience is enhanced functionality of the mineralocorticoid receptor (MR), one of the two brain receptors for the stress hormone cortisol. High levels of MR functionality result in relatively lower rates of depression, particularly in women that experienced stress. However, much less is known about MR functionality in relation to the development of adolescent depression and to other internalizing behavior problems such as anxiety. We therefore examined whether the effects of a functional MR haplotype (i.e., the MR CA haplotype) on the development of depressive and anxiety symptoms are sex-dependent, as well as interact with environmental stressors. In a community sample of adolescents (N = 343, 9 waves between age 13 and 24), environmental stressors were operationalized as parental psychological control and childhood trauma. Results showed a sex-dependent effect of MR CA haplotype on the development of depressive symptoms but not for anxiety symptoms. MR CA haplotypes were protective for girls but not for boys. This study sheds more light on the sex-dependent effects of MR functionality related to the development of depressive and anxiety symptoms during adolescence.