Background: Psychopathology in youth appears to be linked to deficits in regulating affective responses to stressful situations. In children, high-quality parental support facilitates affect regulation. However, in adolescence, the role of parent–child interaction in the regulation of affect is unclear. This study examined physiological reactivity to and recovery from stress in adolescents at risk for psychopathology, and their associations with internalising and externalising problems and parent–adolescent interactions. Methods: A total of 99 adolescents (M = 13.57 years, SD = 1.83) with a history of mental health problems underwent the Alarm Stress Task and were reunited with their primary caregiver after the stressor, while the physiological responses of the parasympathetic (respiratory sinus arrhythmia) and sympathetic (pre-ejection period) systems were measured. The quality of parent–adolescent interaction was determined from observations of secure-base seeking and providing during the task. Affect regulation was measured as physiological reactivity and recovery after the stressor. Results: Adolescents with high levels of externalising problems and low levels of secure-base support showed weaker parasympathetic reactivity and recovery. Higher level of adolescent secure-base seeking was associated with stronger sympathetic reactivity and recovery. Conclusions: Secure-base interactions between parents and adolescents facilitate physiological regulation of stress, especially for adolescents with externalising symptomatology.