Objectives:: Depression is a leading cause of global disease burden and morbidity among adolescents. Studies have reported higher rates of depression and anxiety secondary to the COVID pandemic and the psychosocial impact of social distancing measures. There is a paucity of literature on the subjective experiences of depressed adolescents in such pandemic circumstances. The objective of this study was to explore the lived experiences of adolescents with major depressive disorder (MDD) during the COVID pandemic, and the impact of the pandemic, and pandemic-related circumstances on adolescents’ mental health and coping. Materials and Methods:: In-depth interviews with eight adolescents diagnosed with MDD were analyzed using interpretative phenomenological analysis. Results:: The analysis revealed three major themes; “The pandemic was arduous,” “Negativity in family interactions,” and “Effects on depression.” Most adolescents coped using excessive screen time as a distraction, and their families perceived them as indolent. Conclusion:: The study found that adolescents’ experience of depression during the pandemic was extremely overwhelming because, on the one hand, they had to deal with immediate COVID infection-related worries and were not able to adjust to the new routine, not able to concentrate during online classes while also dealing with greater interpersonal discord with their parents and limited social resources for coping. The findings expand the clinical understanding of adolescents’ experience of depression during pandemic circumstances and would aid in better management planning.