Abstract Objective Major depressive disorder (MDD) in adolescence is frequently accompanied by emotion regulation (ER) deficits, particularly in socially stressful contexts. However, how comorbid social anxiety disorder (SAD) modulates ER during social exclusion in depressed adolescents the behavioral and neural level remains poorly understood. Method Sixty-two adolescents (30 with MDD, 32 healthy controls; aged 12–18) completed a social-exclusion-stimuli task during electroencephalogram (EEG) recording. Using EEG in combination with a dedicated paradigm showing social exclusion (versus neutral situations), ER ability was assessed via cognitive reappraisal performance, negative affect ratings, EEG and prefrontal–limbic functional connectivity. The Adolescent-MDD group was further stratified by SAD comorbidity status. Results Compared to healthy peers, adolescents with MDD showed reduced cognitive reappraisal use and heightened negative affect during social exclusion, reflecting impaired top-down control. Neurally, they showed increased LPP amplitudes and greater left prefrontal theta-band activity during reappraisal, alongside weakened prefrontal-limbic functional coupling. Critically, youth with comorbid SAD demonstrated more pronounced ER impairments and fronto-limbic dysconnectivity, suggesting SAD amplifies neural inefficiency and social withdrawal in depression. Conclusion Disrupted prefrontal–limbic connectivity may underlie ER impairments in depressed adolescents, particularly those with comorbid SAD. These findings identify a potential neurophysiological target for early intervention and offer mechanistic insight into the interaction of depression, social anxiety, and ER during adolescence.