So, I’ve noticed the lack of immortality stories where a child, or in MLP’s case, foals being immortal. I mean, I can see that you can do a lot more with adults being immortal, but I think it would be interesting if foals, or even teenagers being immortal. I mean, imagine a 10 year old boy explaining in great detail the Great Depression to his 56 year old history teacher. That would both be hilarious and interesting at the same time, it would make it better if a group of detectives are trying to figure out who this kid is and finds that he has no history, no birth certificate, no parents, nothing.

I’m just wondering why there aren’t any stories with child immortals.

Probably because we've never seen anything to back up the idea that a child is immortal and hasn't aged a day in who knows how long. There's a theory that Cozy Glow is older than she looks. But only because she's too smart for her age.

Plus it's depressing enough with Celestia, Luna, Cadance, Twilight, and Flurry Heart. Why force that on a foal?

Or it could because nopony's ever thought of it before now.

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I think there's actually a few stories that do deal with it, but I'm not sure if they're in this group. Slow-aging children and divine beings pop up a lot in ponyfic, but children given immortality is something that usually ends up in the 'Transformation' group, if I remember right. 'Myths and Birthrights' has immortal children characters, but they were born that way. Stories here, here, and here all had immortal kids and teens. I didn't enjoy all of them, but if it's a subject that interests you, it's worth a read. I think that there was also another one with an alicorn Sweetie Belle. It was incomplete and tagged tragedy; I can't seem to find it but I think it would deal with the theme you're looking for most accurately. Otherwise, try the transformation group or the X becomes group.