Depression usually emerges during adolescence, is significantly more frequent in women, and exhibits comorbidity with alcohol (ethanol) use disorders. Most of the pre-clinical studies assessing the link between depression and ethanol intake, however, have employed only males or relied on stress-induced depression, or induced the experimentally-induced, depressive-like phenotype, during adolescence yet measured ethanol intake at adulthood. This study assessed, in Wistar male and female adolescent rats, the effects of inducing experimental depression (via administration of 1.0 mg/kg reserpine [RES], a monoamine depleting drug, between postnatal day [PD] 30 to PD33) on the acquisition of voluntary ethanol drinking during PD38 to PD42), and the modulation of these effects by fluoxetine (FLUOX, 10.0 mg/kg) on PDs 34–37. RES-treated rats exhibited a significant reduction of dopamine levels at the insula, no significant changes in circulating levels of thyroxine T4, and reduced distance travelled in an open field. Repeated treatment with RES heightened ethanol intake in female, but not in male, rats; and effect that was inhibited by FLUOX. Similarly, RES significantly increased, and FLUOX reversed, risk-taking behaviors in a concentric square field (CSF) test. FLUOX significantly increased shelter-seeking in the CSF and reduced insular dopamine levels. These results indicate that depression, in females, can kindle the initiation of voluntary ethanol drinking in adolescence (one of the most reliable predictors of being diagnosed with an AUD), and pinpoint alterations in risk-taking as potential mechanisms underlying this effect. Adolescent women afflicted by mood disorders should be specifically targeted for interventions directed towards delaying initiation of alcohol consumption.