Background: Failure of IVF treatment after a number of cycles can be devastating for couples. Although mild IVF strategies reduce the psychological burden of treatment, failure may cause feelings of regret that a more aggressive approach, including the transfer of two embryos, was not employed. In this study, the impact of treatment failure after two or more cycles on stress was studied, following treatment with a mild versus a standard treatment strategy. Methods: Randomized controlled two-centre trial (ISRCTN35766970). Women were randomized to undergo mild ovarian stimulation (including GnRH antagonist co-treatment) and single embryo transfer (n = 197) or standard GnRH agonist long-protocol ovarian stimulation with double embryo transfer (n = 194). Participants completed the Hospital Anxiety and Depression Scale prior to commencing treatment and 1 week after the outcome of their final treatment cycle was known. Data from women who underwent two or more IVF cycles were subject to analysis (n = 253). Results: Women who experienced treatment failure after standard IVF treatment presented more symptoms of depression 1 week after treatment termination compared with women who had undergone mild IVF: adjusted mean (±95% confidence interval) = 10.2 (±2.3) versus 5.4 (±1.8), respectively, P = 0.01. Conclusions: Failure of IVF treatment after a mild treatment strategy may result in fewer short-term symptoms of depression as compared to failure after a standard treatment strategy. These findings may further encourage the application of mild IVF treatment strategies in clinical practice.