Depression has been linked to increased cortisol concentrations using point measures taken from urine, blood, or saliva samples. However, with regard to hypercortisolism-induced consequences, long-term cumulative cortisol burden is of relevance. Our objective was to use hair analysis as a new method to assess cortisol exposure over 6 months in depressed patients and healthy controls. We examined 23 depressed patients (8 men and 15 women, mean age: 41.6 years ( ± standard deviation (SD), 13.1 years); mean duration of current depressive episode 9 months ( ± SD, 13 months)) and 64 healthy controls, matched for age and gender. Cortisol concentrations in two 3-cm hair segments from near to the scalp were analyzed, representing cortisol secretion during the 6 months prior to sampling. Compared with healthy individuals, depressed patients had higher hair cortisol concentrations in the first (mean ± SD: 26.7 ± 20.8 vs. 18.7 ± 11.5 pg/mg, p < 0.05) and second hair segment (mean ± SD: 21.9 ± 23.7 vs. 13.4 ± 9.6 pg/mg, p < 0.05). In conclusion, hair cortisol analysis confirmed enhanced cortisol secretion in depressed patients over a prolonged time period. Because of the retrospective and cumulative nature of cortisol in hair, the assessment of hair cortisol concentration may help in addressing unanswered questions regarding hypothalamic-pituitary-adrenal axis overactivity and associated health consequences in psychiatric disorders.