Few studies have investigated the relationship between cortisol and cognitive functions other than memory in depression. This study investigated daily salivary cortisol patterns (basal cortisol levels at 08:00, 16:00, and 21:00 h and flatness of the diurnal curve) in relation to cognitive speed and memory. Twenty-seven unmedicated outpatients with major depressive disorder (MDD) were compared with 36 healthy controls and with 20 allergic rhinitis patients, to determine whether effects should be ascribed to MDD or to more general disease-related processes. MDD patients were characterised by a flatter diurnal cortisol curve and by reduced cognitive speed. Flatter cortisol curves were associated with cognitive slowness. However, this relationship is unlikely to be causal; after control for depressive symptoms and group membership, flatness of the diurnal cortisol curve was no longer a significant predictor of cognitive slowness. Thus, MDD and related depressive symptoms appeared to be independently associated with altered cortisol secretory patterns and with decrements in cognitive speed.