•39 studies investigated HPA functioning as a predictor of antidepressant response.•Non-responders did not differ from responders in pre-treatment CRH and ACTH.•Non-responders had higher cortisol in studies with a specific methodological profile. Although antidepressants are effective, around 50% of depressed patients are non-responsive. At the same time, some patients show alterations in the hypothalamic-pituitary-adrenal (HPA) axis. Due to interactions with central monoaminergic systems, these may profit less from antidepressants. To determine whether non-responders and responders differed in pre-treatment HPA axis functioning, the Cochrane Library, EMBASE, MEDLINE, and PsycINFO were searched. Studies using patients with depression being treated with antidepressants, and including both a pre-treatment HPA and a post-treatment response measure were included. Standardised mean differences were calculated for meta-analysis. Thirty-nine studies were included. Non-responders and responders did not differ in pre-treatment corticotropin-releasing hormone or adrenocorticotropic hormone. Meta-regression showed non-responders had comparably higher pre-treatment cortisol in studies measuring cortisol non-invasively, not reporting sample storage, failing to control for age, and excluding patients with comorbidities. Only studies with a specific methodological profile seem to be able to show that the more marked depressed patients’ alterations in the HPA axis, the less likely they are to profit from antidepressants.