Background: Major depressive disorder afflicts an estimated 17% of individuals during their lifetimes at tremendous suffering and costs. Cognitive therapy may be an effective treatment option for major depressive disorder, but the effects have only had limited assessment in systematic reviews. Methods/Principal Findings: We used The Cochrane systematic review methodology with meta-analyses and trial sequential analyses of randomized trials comparing the effects of cognitive therapy versus 'no intervention' for major depressive disorder. Participants had to be older than 17 years with a primary diagnosis of major depressive disorder to be eligible. Altogether, we included 12 trials randomizing a total of 669 participants. All 12 trials had high risk of bias. Meta-analysis on the Hamilton Rating Scale for Depression showed that cognitive therapy significantly reduced depressive symptoms (four trials; mean difference -3.05 (95% confidence interval (Cl), -5.23 to -0.87; P&0.006)) compared with 'no intervention'. Trial sequential analysis could not confirm this result. Meta-analysis on the Beck Depression Inventory showed that cognitive therapy significantly reduced depressive symptoms (eight trials; mean difference on -4.86 (95% CI -6.44 to -3.28; P = 0.00001)). Trial sequential analysis on these data confirmed the result. Only a few trials reported on 'no remission', suicide inclination, suicide attempts, suicides, and adverse events without significant differences between the compared intervention groups. Discussion: Cognitive therapy might be an effective treatment for depression measured on Hamilton Rating Scale for Depression and Beck Depression Inventory, but these outcomes may be overestimated due to risks of systematic errors (bias) and random errors (play of chance). Furthermore, the effects of cognitive therapy on no remission, suicidality, adverse events, and quality of life are unclear. There is a need for randomized trials with low risk of bias, low risk of random errors, and longer follow-up assessing both benefits and harms with clinically relevant outcome measures.