Hair cortisol is regarded as a promising marker of hypothalamic-pituitary-adrenal axis (HPAA) activity alterations due to stress, somatic and mental health conditions. Hair cortisol was previously reported to be elevated in patients with depression, however the data related to remission and recurrent depressive episodes are different. In this study, levels of hair cortisol were assessed in female patients with major depressive disorder (MDD) and the validity of hair cortisol as a marker of HPAA activity in this condition was evaluated. Hair cortisol was measured in 1 cm hair segments of 21 female patients with MDD and 22 female age-matched controls using enzyme-immunoassay analysis. Concurrently, serum cortisol was assessed and psychological status was evaluated using 17-item Hamilton Depression Rating Scale (HAMD-17), Beck Depression Inventory (BDI) and the Spielberger state trait anxiety inventory (STAI). The levels of hair cortisol were significantly lower in the MDD group, while serum cortisol levels were significantly higher in patients, as compared with controls. A significant negative correlation was found between HAMD-17 scores and hair cortisol. Decreased hair cortisol found in female patients with MDD as compared to controls suggests downregulation of HPAA activity during the preceding month. Further studies are needed to investigate the profiles of hair cortisol at different stages of depressive disorder to establish this parameter as a handy clinical tool.