Major depression is a common, life-threatening complication of Cushing’s syndrome, with no significant differences between pituitary-dependent and -independent forms. Little is known about the clinical correlates of depression; in particular, whether patients with Cushing’s disease and major depression show some clinical features that are distinctive compared to those who are not depressed. The occurrence of major depression according to DSM-IV criteria was ascertained in 162 patients with pituitary-dependent Cushing disease. Major depression occurred in 88 of the patients (54%). It was significantly associated with older age, female sex, higher pretreatment urinary cortisol levels, relatively more severe clinical condition, and absence of pituitary adenoma. Patients with Cushing’s disease and depression appeared to suffer from a more severe form of illness, both in terms of cortisol production and clinical presentation, compared to those who were not depressed. Because of these connections, the presence of depression is an important clinical feature that should not be neglected. The findings in this study may have implications for a better understanding of the pathophysiological role of depression associated with medical illness.