We aimed to investigate the relationship between cortisol levels and bone mineral density (BMD) among premenopausal women with major depression. We compared BMD, plasma cortisol, osteocalcin and C-telopeptide (CTx) levels of 36 premenopausal women with major depression with 41 healthy women who were matched for age and body mass index. Osteocalcin and CTx were used for the evaluation of bone turnover. The clinical diagnosis of major depression was made by using the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition (DSM-IV) criteria. The 21-item Hamilton Rating Scale for Depression was used for the assessment of depressive symptoms. In comparison with the controls, the mean BMD of the depressed women was significantly lower at the lumbar spine and at all sites of the proximal femur (p = 0.02, 0.01). Plasma cortisol levels were significantly higher in depressive patients than in controls (p = 0.001). Osteocalcin was lower and CTx was higher in the patient group than in controls (p = 0.04, p = 0.008). Lumbar and femur BMD scores were negatively correlated with cortisol levels in the patient group. Major depression had important effects on BMD and bone turnover markers. Depression should be considered among risk factors for osteoporosis in premenopausal women.