The purpose of this meta-analysis is to examine the association between depression and cortisol responses to psychological stressors. A total of seven studies comparing plasma or cortisol responses to psychological stressors in clinically depressed (MDD) and non-depressed (ND) individuals (N = 196: 98 MDD, 98 ND; 83 men, 113 women; mean age = 40 years) were included. Sample size-adjusted effect sizes (Cohen's d statistic) were calculated and averaged across baseline (before stressor onset), stress (stressor onset up to 25 min after stressor offset), and recovery (more than 25 min after stressor offset) periods. Overall, MDD and ND individuals exhibited similar baseline and stress cortisol levels, but MDD patients had much higher cortisol levels during the recovery period than their ND counterparts. There was also a significant time of day effect in which afternoon studies were more likely to reveal higher baseline cortisol levels, blunted stress reactivity, and impaired recovery in MDD patients. This blunted reactivity-impaired recovery pattern observed among the afternoon studies was most pronounced in studies with older and more severely depressed patients.