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: Cochrane systematic review methodology, with meta-analyses and trial sequential analyses of randomized trials, are comparing the effects of cognitive therapy versus 'treatment as usual' for major depressive disorder. To be included the participants had to be older than 17 years with a primary diagnosis of major depressive disorder. Altogether, we included eight trials randomizing a total of 719 participants. All eight trials had high risk of bias. Four trials reported data on the 17-item Hamilton Rating Scale for Depression and four trials reported data on the Beck Depression Inventory. Meta-analysis on the data from the Hamilton Rating Scale for Depression showed that cognitive therapy compared with 'treatment as usual' significantly reduced depressive symptoms (mean difference -2.15 (95% confidence interval -3.70 to -0.60; P<0.007, no heterogeneity)). However, meta-analysis with both fixed-effect and random-effects model on the data from the Beck Depression Inventory (mean difference with both models -1.57 (95% CL -4.30 to 1.16; P = 0.26, I 2 = 0) could not confirm the Hamilton Rating Scale for Depression results. Furthermore, trial sequential analysis on both the data from Hamilton Rating Scale for Depression and Becks Depression Inventory showed that insufficient data have been obtained. Discussion: Cognitive therapy might not be an effective treatment for major depressive disorder compared with 'treatment as usual'. The possible treatment effect measured on the Hamilton Rating Scale for Depression is relatively small. More randomized trials with low risk of bias, increased sample sizes, and broader more clinically relevant outcomes are needed.