The aim of this study was to determine whether there was any relationship between hippocampal volume, and glucocorticoid regulation, and cognitive dysfunctions in drug-naïve major depressive disorder (MDD) patients during their first episode. Twenty drug-free female MDD patients in their first episode and 15 healthy females as control subjects were included in the study. All subjects underwent 3.0 Tesla (T) magnetic resonance imaging (MRI), comprehensive neuropsychological testing and dexamethasone suppression tests (DST). The volumes of the right and left hippocampus of the patients were found to be significantly smaller than those of the controls. Patients were found to have significantly lower scores on measures of attention, working memory, psychomotor speed, executive functions, and visual and verbal memory fields. The performance of the patients only in the recollection memory and memory of reward-associated rules were positively correlated with hippocampal volumes. The volumes of the left and right hippocampus did not correlate with basal or post-dexamethasone cortisol levels. Our findings indicate that depressed patients have smaller hippocampi even in the earlier phase of their illness. Further research efforts are needed to explain the mechanisms that are responsible for the small hippocampus in depressed patients.