Background: Positive expectations play an important role in effective treatments for major depressive disorder (MDD). The way a study is contextualized modulates prognostic expectations. Aims: The aim of the study was to test the effect of differing information regarding the rationale given to participants for a study on depression symptoms. Method: Sixty-nine participants with depression symptoms participated in an online study with two conditions. In random order, half were invited to participate in a treatment study and half in a cognition study. After completing the baseline assessment, participants received one of two self-help manuals. Post-assessment was conducted six weeks later. Results: Only about 64% of the participants were reached for post-assessment, and adherence was low. However, our results offer the first evidence that stronger improvements emerged in participants who were told the trial was a treatment study compared with a cognition study. Conclusion: Information given about the rationale for a study could influence symptom reduction in online treatments for patients with MDD. Future (online) studies should attempt to replicate these results.