There is a central belief that depression is associated with hyperactivity of the hypothalamic-pituitary-adrenal axis, resulting in higher cortisol levels. However, results are inconsistent. To examine whether there is an association between depression and various cortisol indicators in a large cohort study. Data are from 1588 participants of the Netherlands Study of Depression and Anxiety who were recruited from the community, general practice care, and specialized mental health care. Three groups were compared: 308 control subjects without psychiatric disorders, 579 persons with remitted (no current) major depressive disorder (MDD), and 701 persons with a current MDD diagnosis, as assessed using the DSM-IV Composite International Diagnostic Interview. Cortisol levels were measured in 7 saliva samples to determine the 1-hour cortisol awakening response, evening cortisol levels, and cortisol suppression after a 0.5-mg dexamethasone suppression test. Both the remitted and current MDD groups showed a significantly higher cortisol awakening response compared with control subjects (effect size [Cohen d] range, 0.15-0.25). Evening cortisol levels were higher among the current MDD group at 10 pm but not at 11 pm. The postdexamethasone cortisol level did not differ between the MDD groups. Most depression characteristics (severity, chronicity, symptom profile, prior childhood trauma) were not associated with hypothalamic-pituitary-adrenal axis activity except for comorbid anxiety, which tended to be associated with a higher cortisol awakening response. The use of psychoactive medication was generally associated with lower cortisol levels and less cortisol suppression after dexamethasone ingestion. This large cohort study shows significant, although modest, associations between MDD and specific hypothalamic-pituitary-adrenal axis indicators. Because a higher cortisol awakening response was observed among both subjects with current MDD and subjects with remitted MDD, this may be indicative of an increased biological vulnerability for depression.