Background: The cognitive-behavioral analysis system of psychotherapy (CBASP) was developed for the treatment of chronic, early-onset depression. However, it is unclear whether this approach can be recommended for depression in general (episodic and chronic), and no direct comparisons between CBASP with different versions of cognitive-behavioral therapy (CBT) exist. Methods: A randomized controlled trial compared 3 treatment conditions (all lasting 16 sessions) with a waiting list group (WL): CBASP, CBT with a focus on physical exercise (CBT-E), and CBT with a focus on pleasurable, low-energy and mindful activities (CBT-M). We included 173 patients and involved 41 therapists. Assessments were at baseline, after session 8, and at the end of treatment. Results: Our primary outcome Beck Depression Inventory-II indicated a general advantage of the CBT arms compared to CBASP [F(6, 154.5) = 4.2, p = 0.001], with significant contrasts in particular in favor of CBT-E. Effect sizes against WL were d = 0.91 (CBT-E), 0.87 (CBT-M), and 0.47 (CBASP). A triple interaction with an additional factor “chronic versus episodic depression” [F(6, 142.7) = 2.2, p = 0.048] indicated that the treatments resulted in different outcomes, with best results again for CBT-E in particular in episodic depression. Responder rates indicated significant improvements (56% in both CBT arms, 34% in the CBASP arm, 3.4% in WL; intention-to-treat samples). As compared to CBASP, response rates were significantly higher for CBT-E (OR = 2.48; 95% CI = 1.02–6.00) and CBT-M (OR = 2.46; 95% CI = 1.01–6.01). Conclusions: CBASP was more effective than WL, but less effective than the 2 CBT arms. This was mainly caused by an advantage of CBT interventions in episodic depression.