Major depressive disorder aggregates within families, although the mechanisms of transfer across generations are not well understood. In light of converging biological and behavioral evidence that depressive symptoms are associated with impaired reward processing, we examined whether adolescent girls with a parental history of depression would also exhibit abnormal reward sensitivity. We performed a negative mood induction and then recorded the feedback negativity, a neural index of reward processing, while individuals completed a gambling task. High-risk adolescents reported greater sadness following the mood induction compared to low-risk adolescents. Among the high-risk group, sadness was strongly associated with a blunted feedback negativity, even after controlling for baseline mood and trait neuroticism. This suggests that high-risk adolescents are more reactive to negative stimuli, which significantly alter neural sensitivity to monetary gains and losses. The feedback negativity might be used to identify information processing abnormalities in high-risk populations prior to the onset of a major depressive episode.