The Multidimensional Depression Assessment Scale (MDAS) is a comprehensive scale to measure the cognitive, emotional, interpersonal, and somatic symptoms of depression. This study evaluated its measurement invariance across gender in adolescents. The MDAS was administered to 2881 adolescents (64.2% girls, aged 12–18) from Hong Kong, China, and the UK. Participants completed the MDAS, Patients Health Questionnaire-9 (PHQ-9), and Persistent Depressive Screener (PDS). The Confirmatory Factor Analysis (CFA) results indicated that the original four-factorial model corresponding to the four subscales was confirmed. The convergent validity of MDAS was supported by its significant positive relationship to PHQ and PDS. The results of gender invariance addressed the configural, metric, scalar, strict invariance across gender in the current multi-cultural sample. However, small but significant differences were found across gender in observed factor means, with a higher level of MDAS total score and subscales in girls. The Coefficients of Cronbach’s alpha (ranged between .91 to .95), the Theta (ranged between .93 to .96), and Omega (ranged between .85 to .94) supported MDAS’s reliability. The MDAS was shown as a valid and reliable measure of depression among non-clinical male and female adolescents.