Real-time functional magnetic resonance imaging (rt-fMRI) neurofeedback was found to reduce depressive symptoms. However, no direct comparison of drug-free patients with an active psychotherapy control group is available. The present study compared rt-fMRI neurofeedback with cognitive behavioral therapy, as the standard treatment in patients declining anti-depressants. Twenty adult, drug-free patients with mild or moderate depression were non-randomly assigned either to a course of eight half-hour sessions of neurofeedback targeting the left medial prefrontal cortex (N = 12) or to a 16-session course of cognitive behavioral therapy (N = 8). Montgomery–Asberg Depression Rating Scale was introduced at baseline, mid-treatment, and end-treatment points. In each group, 8 patients each remained in the study to a mid-treatment evaluation and 6 patients each to the study end-point. ANOVA revealed a depression reduction with a significant effect of Time (F(3,6) = 19.0, p < 0.001, η2 = 0.76). A trend to greater improvement in the cognitive behavioral therapy group compared to neurofeedback emerged (Group × Time; p = 0.078). Percent signal change in the region of interest between up- and down-regulation conditions was significantly correlated with session number (Pearson’s r = 0.85, p < 0.001) indicating a learning effect. As limitations, small sample size could lead to insufficient power and non-random allocation to selection bias. Both neurofeedback and cognitive behavioral therapy improved mild and moderate depression. Neurofeedback was not superior to cognitive behavioral therapy. Noteworthy, the neurofeedback training course was associated with continuous improvement in the self-regulation skill, without plateau. This study delivers data to plan clinical trials comparing neurofeedback with cognitive behavioral interventions.