Major depressive disorder (MDD) and schizophrenia (SZ) are considered two distinct psychiatric disorders. Yet, they have considerable overlap in symptomatology and clinical features, particularly in the initial phases of illness. The amygdala and prefrontal cortex (PFC) appear to have critical roles in these disorders; however, abnormalities appear to manifest differently. In our study forty-nine drug-naïve, first-episode MDD, 45 drug-naïve, first-episode SZ, and 50 healthy control (HC) participants from 13 to 30 years old underwent resting-state functional magnetic resonance imaging. Functional connectivity (FC) between the amygdala and PFC was compared among the three groups. Significant differences in FC were observed between the amygdala and ventral PFC (VPFC), dorsolateral PFC (DLPFC), and dorsal anterior cingulated cortex (dACC) among the three groups. Further analyses demonstrated that MDD showed decreased amygdala-VPFC FC and SZ had reductions in amygdala-dACC FC. Both the diagnostic groups had significantly decreased amygdala-DLPFC FC. These indicate abnormalities in amygdala-PFC FC and further support the importance of the interaction between the amygdala and PFC in adolescents and young adults with these disorders. Additionally, the alterations in amygdala-PFC FC may underlie the initial similarities observed between MDD and SZ and suggest potential markers of differentiation between the disorders at first onset.