Although loss of pleasure (i.e., anhedonia) is one of the two core symptoms of depression, very little research has examined the relation between depressive symptoms and the experience of pleasure in daily life. This exploratory study in two population-based adolescent samples aimed to examine how depressive symptoms and anhedonia specifically were related to (1) the proportion and intensity of positive events, (2) mean and variability of positive affect (PA), (3) reactivity to positive events, and (4) reactivity to PA (i.e., whether PA elicits positive events). We used Experience Sampling to measure positive events and PA several times a day during 6 to 14 days in early (N = 284) and late (N = 74) adolescents. Results showed that depressive symptoms were related to a lower proportion and intensity of positive events, lower mean PA, and higher variability in PA regardless of sex and stage of adolescence. No clear evidence was found for differential reactivity to positive events or to PA. Anhedonia was not associated with most daily life experiences of pleasure. Our findings, though preliminary, suggest that although adolescents with many depressive symptoms experience less positive events and lower PA, they are able to enjoy pleasurable events to the same extent as individuals with fewer depressive symptoms.