Major depression is reportedly characterized by increased activity of the hypothalamic–pituitary–adrenal (HPA) axis and by in vivo immune activation. The present study was carried out in order to investigate the relationships between HPA-axis activity and in vivo immune function in depression. Towards this end the following parameters were measured: 24 h urinary cortisol (UC) excretion; basal and post-dexamethasone (DST) plasma cortisol, β-endorphin/β-lipotropin (βEND/βLPH) and dexamethasone concentrations; and leucocyte subsets (i.e. lymphocytes, neutrophils, monocytes, CD4+, CD4+CD45RA+, CD4+CD45RO+, CD8+, CD8+CD57+, CD8+CD57−, HLA-DR+, CD25+ T cells, HLA-DR+, CD19+, CD20+, and CD21+ B cells) both pre-and post-DST. Dexamethasone administration (1 mg orally) induced leucocytosis, lymphocytopaenia, monocytopaenia and neutrophilia. HPA-axis non-suppressors exhibited a relative resistance to the enhancing (e.g. neutrophils) or depressant (e.g. lymphocytes, CD4+ T cells) effects of dexamethasone. There were significant correlations between UC excretion and the number of percentage of lymphocytes, monocytes, CD4+CD45RA+ and CD8+CD57− T cells (negatively) and neutrophils (positively). It is concluded that multiple and complex intertwined relationships between HPA-axis hyperactivity and systemic immune stimulation participate in the pathophysiology or pathogenesis of major depression.