Although sex differences in major depression have been reported repeatedly, the underlying mechanisms are still disputed. The rapidly changing gonadal steroid concentrations of the postpartum period or during menopause have been shown to be associated with depressive symptoms and to modulate the hypothalamic-pituitary-adrenal (HPA)-axis, which is implicated in depression. The sample comprised of 128 depressed in-patients (36.7% women) and 166 healthy controls (30.0% women). Blood was collected at baseline (at 6pm) and then 3 h as well as 21 h after ingestion of 1.5 mg dexamethasone for measurement of cortisol, ACTH and blood count. To further assess the function of the HPA-axis the dexamethasone/corticotrophin releasing hormone (Dex-CRH) test was performed in a subsample of 115 patients and 116 controls the following day. A significant interaction effect between sex, disease and ACTH concentrations over time after dexamethasone stimulation was observed, with men showing increased ACTH concentrations at baseline and after 21 h, while there was no difference after 3 h (p = .007). After separating for disease status this significant interaction effect was only observed in controls (p = .005). The cortisol response in the dex-CRH test was enhanced in female compared to male controls (p = .002). Leucocytes showed a stronger increase upon dexamethasone administration only in female compared to male controls (p = .023). These findings suggest a higher glucocorticoid receptor sensitivity following in-vivo glucocorticoid stimulation in healthy women that was absent in depressed patients. The sex-related differences in HPA-axis regulation and immune system function may contribute to the vulnerability of female sex to the development of depression.