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Background: The combined effects of major depressive disorder (MDD) and attention-deficit hyperactivity disorder (ADHD) on cognitive flexibility, appetite hormone regulation, and pro-inflammatory cytokine levels remain unclear in adolescents. Methods: In this study, we included 32 adolescent patients with both MDD and ADHD, 34 adolescents with MDD alone, and 50 neurotypically developing controls. All participants completed the Wisconsin Card Sorting Test (WCST) to assess cognitive flexibility and received fasting blood assessments for appetite hormones (insulin, leptin, adiponectin, and ghrelin) and pro-inflammatory cytokines (interleukin [IL]-6 and tumor necrosis factor-α). Results: With generalized linear models adjusted for age, sex, body mass index, medication use, and clinical symptom severity, we found that adolescents with both MDD and ADHD had significantly higher perseverative errors on the WCST, an indicator of cognitive inflexibility, compared with those with MDD alone (p < 0.05). Moreover, both MDD groups (with and without ADHD) had a significantly higher blood IL-6 level (p < 0.05) and a significantly lower blood adiponectin level (p < 0.05) than neurotypically developing adolescents. Conclusion: These findings suggest that cognitive inflexibility is more strongly associated with ADHD than with MDD.