Depression is associated with increased cortisol secretion and occurs more often in women than in men. Thus, it has been hypothesized that differences in cortisol secretion might, in part, be responsible for the greater risk of developing depression in women. However, only few studies have examined sex differences in baseline cortisol secretion in depressed patients and healthy controls. We examined sex effects on cortisol secretion in 52 medication-free patients with major depression (37 women, 15 men, mean ± SD age 35 ± 11 years, Hamilton Depression Scale mean score 27 ± 5) and 50 healthy age- and sex-matched control subjects. Salivary cortisol concentrations were measured at 8:00, 12:00, 16:00, and 22:00 h. Repeated measures analysis of covariance revealed a group × sex interaction (p = 0.05). Post hoc tests revealed higher cortisol concentrations in depressed compared to healthy men [F(1;29) = 7.5, p = 0.01]. No differences were found between depressed and non-depressed women. Our results do not support the hypothesis that differences in cortisol secretion between depressed and non-depressed subjects are more pronounced in women than in men. Study characteristics and methods as well as sex-specific confounding variables such as menstrual cycle, menopause and the use of oral contraceptives may account for inconclusive results across studies.