Many patients with depressive disorders demonstrate resistance to psychological therapy. A frequent finding is hypothalamic-pituitary-adrenal (HPA) axis alterations. As cortisol is known to modulate cognitive processes, those patients may be less likely to profit from psychological therapy. To conduct a systematic review and meta-analysis on cortisol as a predictor of psychological therapy response. The Cochrane Library, EMBASE, MEDLINE and PsycINFO databases were searched. Records were included if they looked at patients with any depressive disorder engaging in psychological therapy, with a pre-treatment cortisol and a post-treatment symptom measure. Eight articles satisfied our selection criteria. The higher the cortisol levels before starting psychological therapy, the more symptoms patients with depression experienced at the end of treatment and/or the smaller their symptom change. Our findings suggest that patients with depression with elevated HPA functioning are less responsive to psychological therapy.