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The hypothalamus comprises histologically and functionally distinct subunits critical to major depressive disorder (MDD) pathology; however, its localized neuroanatomical alterations in affected adolescents remain poorly understood. This study aimed to investigated volumetric changes in hypothalamic subunits among drug-naïve adolescents with MDD and explored their associations with clinical symptoms and sleep quality. High-resolution 3D T1-weighted MRI data from 83 drug-naïve adolescents with MDD and 59 matched healthy controls (HCs) were preprocessed and segmented into five bilateral subunits using FreeSurfer software. We investigated volumetric alterations in hypothalamic subunits and examined whether and how these structural changes accounted for the relationships between depressive severity and sleep quality. Adolescents with MDD showed significantly smaller volumes in the left anterior-inferior subunit (a-iHyp) and larger volumes in the right inferior tubular subunit compared to HCs. The volumes of the left a-iHyp were significantly negatively correlated with both sleep quality and depressive severity in adolescents with MDD. Furthermore, exploratory analysis indicated that the volumes of the left a-iHyp partially accounted for the associations between depressive severity and sleep quality. Additionally, the volumes of the left infTub were significantly negatively correlated with cognitive impairment scores in adolescents with MDD. These findings provide new insights into distinct hypothalamic subunit alterations in adolescents with MDD, and these insights enhance our understanding of the associations between subunit-level hypothalamic alterations and clinical symptoms in this clinical population.