Lothian and Borders Police said the murder happened at Newbyres Crescent at about 0220 GMT.
The teenager, who has not been named, was taken by ambulance to Edinburgh Royal Infirmary following the attack, but he later died.
The force said it was carrying out house-to-house inquiries and that they were following positive leads.
Det Insp Jim Robertson said: "We are appealing for information in connection with this incident and would ask anyone who was in Newbyres Crescent, Gorebridge early this morning, or who has any information that may assist, to come forward."
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