This cross-sectional study investigated whether a group of unmedicated patients with major depressive disorder, single episode, had decreased bone mineral density (BMD). The BMD at the lumbar spine and proximal femur in 25 premenopausal women with major depressive disorder and 15 normal women was measured by dual-energy X-ray absorptiometry. Bone turnover markers and serum cortisol levels were also evaluated for each subject. As compared with values in the normal women, the mean BMD in the depressed women was significantly lower at the lumbar spine and at all sites of the proximal femur. There was no statistically significant difference between serum cortisol levels and bone turnover markers except for significantly higher urinary excretion of deoxypyridinoline cross-links in the patients compared with the controls. In conclusion, depressed women may have decreased BMD even at the very early stages of the illness, and this possibility should be taken into consideration in treatment.