Depression is one of the most common mental health problems in childhood and adolescence. Although data consistently show it is associated with self-reported negative cognitive styles, less is known about the mechanisms underlying this relationship. Cognitive biases in attention, interpretation and memory represent plausible mechanisms and are known to characterise adult depression. We provide the first structured review of studies investigating the nature and causal role of cognitive biases in youth depression. Key questions are (i) do cognitive biases characterise youth depression? (ii) are cognitive biases a vulnerability factor for youth depression? and (iii) do cognitive biases play a causal role in youth depression? We find consistent evidence for positive associations between attention and interpretation biases and youth depression. Stronger biases in youth with an elevated risk of depression support cognitive-vulnerability models. Preliminary evidence from cognitive bias modification paradigms supports a causal role of attention and interpretation biases in youth depression but these paradigms require testing in clinical samples before they can be considered treatment tools. Studies of memory biases in youth samples have produced mixed findings and none have investigated the causal role of memory bias. We identify numerous areas for future research in this emerging field.