Two recent sham-controlled studies found that transcranial direct current stimulation (tDCS) was an effective treatment for depression. As tDCS is painless, relatively safe and inexpensive, its efficacy in treating depression warrants further investigation. This double-blind, randomized study tested tDCS at the same stimulation parameters as a previous positive study (1 mA current strength, five treatment sessions, active or sham, given on alternate days) in 40 depressed participants. Anodal stimulation was centred over the left dorsolateral prefrontal cortex, with the cathode placed on the lateral aspect of the contralateral orbit. tDCS was continued up to a total of ten active sessions per participant. Mood outcomes were measured by psychiatrist raters blind to treatment condition using the Montgomery–Asberg and other depression rating scales. Psychomotor speed was assessed immediately before and after a single tDCS session and attention, frontal executive function, working memory and verbal learning were assessed after each group of five sessions. Overall depression scores improved significantly over ten tDCS treatments, but there was no between-group difference in the five-session, sham-controlled phase. tDCS was found to be safe, with no adverse effects on neuropsychological function, and only minor side-effects. It is recommended that the efficacy of tDCS in depression be further evaluated over a longer treatment period, using enhanced stimulation parameters.