Single-case methodology, using cross-lagged panel correlations, was applied to study the order of change in mood, cognition and cortisol concentration in eight in-patients with a diagnosis of major, endogenous depression. Daily measures included: two visual analogue scales measuring depressed mood and general feeling of unwellness; cortisol concentration in saliva (sampled four times a day) and in 24-h urine; two cognitive scales, the Automatic Thoughts Questionnaire and the Cognitive Style Test. The results relating to the temporal relationship between biological and psychological data were ambiguous as the pattern of change was inconsistent among individuals. Group data indicated that changes in feeling unwell preceded changes in early evening salivary cortisol and changes in negative automatic thoughts preceded changes in day and early evening salivary cortisol. Psychological variables and cortisol concentrations were generally negatively correlated within individuals indicating that over the short recovery period improving mood and cognition were associated with increasing levels of cortisol. A more consistent pattern of precedence of change was obtained for mood and cognition: negative cognitive style predicted changes in both mood measures and feeling unwell predicted changes in negative automatic thoughts.