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Depression is an incapacitating psychiatric disorder with increased risk through adolescence. Among other factors, children with family history of depression have significantly higher risk of developing depression. Early identification of pre-adolescent children who are at risk of depression is crucial for early intervention and prevention. In this study, we used a large longitudinal sample from the Adolescent Brain Cognitive Development (ABCD) Study (2658 participants after imaging quality control, between 9–10 years at baseline), we applied advanced machine learning methods to predict depression risk at the two-year follow-up from the baseline assessment, using a set of comprehensive multimodal neuroimaging features derived from structural MRI, diffusion tensor imaging, and task and rest functional MRI. Prediction performance underwent a rigorous cross-validation method of leave-one-site-out. Our results demonstrate that all brain features had prediction scores significantly better than expected by chance, with brain features from rest-fMRI showing the best classification performance in the high-risk group of participants with parental history of depression (N = 625). Specifically, rest-fMRI features, which came from functional connectomes, showed significantly better classification performance than other brain features. This finding highlights the key role of the interacting elements of the connectome in capturing more individual variability in psychopathology compared to measures of single brain regions. Our study contributes to the effort of identifying biological risks of depression in early adolescence in population-based samples.