Conversational agents are a promising digital health intervention that can mitigate help-seeking barriers for youth with depression to receive treatment. Although studies have shown sufficient acceptance, feasibility, and promising effectiveness for adults, not much is known about how youth experience interacting with conversational agents to improve mental health. Therefore, we conducted an exploratory study with 15 youth with to collect data on their interaction with a conversational agent prototype using the think-aloud protocol. We coded the material from the think-aloud sessions using an inductive approach. Our findings provide insights into how youth with depression interacted with the prototype. Participants frequently and controversially discussed the conversational agent’s (1) personality and interaction style, (2) its functionality, and (3) the dialogue content with implications for the design of conversational agents to treat depression and future research.