We hypothesized that the double hit conferred by sex and diagnosis increases the risk for internalizing disorders in adolescent females with autism spectrum disorder (ASD). In a sample of 32 adolescents with ASD and 32 controls, we examined the effects of sex, diagnostic factors, and developmental stages on depression and anxiety. A 3-way interaction revealed that females with ASD exhibited greater depressive symptoms than males with ASD and female controls particularly during early adolescence; therefore, females with ASD might have a unique combination of genetic, hormonal, and psychosocial vulnerabilities that heighten their risk for depression during early adolescence. Additionally, the ASD group reported high levels of separation anxiety and panic in late adolescence, possibly indicating atypical development of independence.