The COVID-19 pandemic has left millions of children and adolescents grieving the sudden death of a grandparent. Yet, we lack knowledge of the mental health implications of a grandparent's death for youth. This study uses longitudinal data to examine if the loss of a grandparent increases adolescent grandchildren's likelihood of experiencing their mothers' major depressive disorder, and of having depressive symptoms themselves. Using data from the Fragile Families and Child Wellbeing Study, a population-based cohort study of children born in 20 U.S. cities between 1998 and 2000, we estimate associations between the death of a maternal grandparent in mid-childhood and adolescents', and their mothers', depressive outcomes when the adolescent is roughly age 15 (in 2014-17), net of a robust set of covariates, including pre-bereavement depression. Adjusted regression models show no elevated depression risk associated with a grandfather's death—neither for adolescents nor their mothers. A grandmother's death within the previous seven years is associated with a higher likelihood of adolescents having a depressed mother compared to both non-bereaved adolescents (odds ratio (OR) = 2.42; 95% confidence interval (CI) = 1.17, 5.01) and those whose grandmother died more than seven years ago (OR = 3.78; 95% CI = 1.54, 9.31). Furthermore, adolescent boys have a 50% increase in their depressive symptoms following a grandmother's death relative to their non-bereaved peers—an increase that operates independently from the influence of the death on their mother. Together, the results show the death of a grandmother is an underappreciated, persistent risk factor for adolescents experiencing maternal major depressive disorder, and for adolescent boys experiencing depressive symptoms personally.