Although gene expression profiles in peripheral blood in major depression are not likely to identify genes directly involved in the pathomechanism of affective disorders, they may serve as biomarkers for this disorder. As previous studies using baseline gene expression profiles have provided mixed results, our approach was to use an in vivo dexamethasone challenge test and to compare glucocorticoid receptor (GR)-mediated changes in gene expression between depressed patients and healthy controls. Whole genome gene expression data (baseline and following GR-stimulation with 1.5 mg dexamethasone p.o.) from two independent cohorts were analyzed to identify gene expression pattern that would predict case and control status using a training (N=18 cases/18 controls) and a test cohort (N=11/13). Dexamethasone led to reproducible regulation of 2670 genes in controls and 1151 transcripts in cases. Several genes, including FKBP5 and DUSP1, previously associated with the pathophysiology of major depression, were found to be reliable markers of GR-activation. Using random forest analyses for classification, GR-stimulated gene expression outperformed baseline gene expression as a classifier for case and control status with a correct classification of 79.1 vs 41.6% in the test cohort. GR-stimulated gene expression performed best in dexamethasone non-suppressor patients (88.7% correctly classified with 100% sensitivity), but also correctly classified 77.3% of the suppressor patients (76.7% sensitivity), when using a refined set of 19 genes. Our study suggests that in vivo stimulated gene expression in peripheral blood cells could be a promising molecular marker of altered GR-functioning, an important component of the underlying pathology, in patients suffering from depressive episodes.