The purpose of the study is:

1. To conduct a pilot SMART (Sequential, Multiple Assignment, Randomized) study with the long-term goal of developing a personalized treatment for child depression.
2. To collect pilot data on ways to personalize treatment for child depression using cognitive behavioral therapy (CBT), caregiver-child treatment, or both.

Child depression is among the most prevalent and impairing pediatric conditions and constitutes a major public health concern. Unfortunately, treatment benefits are relatively modest and short-lived with sizeable percentages of children who maintain depressive symptoms following treatment. This problem may be addressed in part by personalizing treatment, including determining which children will benefit from CBT, which children will benefit from caregiver-child treatment, and which children will benefit from both. The goal of the current study is to pilot test an innovative experimental design called Sequential, Multiple Assignment, Randomized Trial (SMART), which is used for development of personalized treatments, collect pilot data, and assess the acceptability and feasibility of using this design, in preparation for a full-scale SMART in a larger clinical trial and for the development of personalized treatment.

Inclusion Criteria:

1. Current diagnosis of Major Depressive Disorder (MDD), Dysthymic Disorder (DD), or Depressive Disorder Not Otherwise Specified (NOS).
2. If receiving psychiatric medication, dose should be stable for at least three months at enrollment.

Exclusion Criteria:

1. A disorder other than depression as primary diagnosis.
2. Autism Spectrum Disorders and Pervasive Developmental Delay or Disorder.
3. Mental Retardation.
4. Psychotic Disorders and Schizophrenia.
5. Mania or Hypomania disorders.
6. Acute suicidal behavior and/or acute plan that require higher level of care, and being hospitalized over the past year for a suicide attempt or for threatening to commit suicide.
7. Participation in additional psychotherapy.
8. Caregiver and/or children do not speak English.