Increased cortisol levels have been suggested to play a role in the development of depression. An association has been shown in some studies but not consistently. The timing of an association is uncertain, and long-term follow-up studies may miss associations in narrower time windows. In the present study, we examined the association of several cortisol measures and depression in a repeated cross-sectional and short-term follow-up design. Depression was assessed by both self-reported symptoms of depression and clinical interviews.