Background The hypothalamic-pituitary-adrenal (HPA) axis plays a central role in stress regulation, and leukocyte telomere length (TL) has been suggested to represent a cumulative measure of stress. Depression is intimately related with stress and frequently exhibits a dysregulated HPA axis. We aimed to study the relationships between TL and biological and psychological facets of stress in recurrent major depressive disorder and controls. Methods Leukocyte TL was measured in 91 subjects with recurrent major depressive disorder and 451 control subjects. Stress was assessed from both a biological perspective, by assessing HPA axis function with a weight-adjusted very-low-dose dexamethasone suppression test (DST), and a psychological perspective, with self-report questionnaires. Results TL was shorter among patients compared with control subjects (277 base pairs, p = .001). Overall, short TL was associated with a hypocortisolemic state (low post-DST cortisol and high percentage of cortisol reduction after the DST) among both patients and control subjects but more pronounced among patients. This state, which was overrepresented among patients, was characterized by high familial loading of affective disorders among patients ( p = .001) and high C-reactive protein levels among control subjects ( p = .040). TL was also inversely associated with stress measured with the Perceived Stress Questionnaire ( r s = −.258, p = .003). Conclusions Short TL is associated with depression and hypocortisolism. Because hypocortisolism has been shown to develop from chronic stress exposure, our findings corroborate the concept of TL as a cumulative measure of stress and provide novel insights into the detrimental role of stress in depressive illness and the general population.