Exaggerated corticotropin (ACTH) and cortisol response to the combined dexamethasone (DEX)/corticotropin releasing hormone (CRH) test, indicating impaired regulation of the hypothalamus-pituitary-adrenocortical (HPA) system, is frequently observed in depression. In the present study, we examined whether change in HPA system function during the first weeks of hospitalization predicts response to antidepressant treatment in major depression and thus constitutes a potential biomarker. We conducted the DEX/CRH test in 50 inpatients suffering from severe major depression, once after study inclusion and a second time 2 to 3 weeks later while under continuous antidepressant treatment. We found increased ACTH and cortisol responses to the first DEX/CRH test compared with healthy control subjects. In the second DEX/CRH test 2 to 3 weeks later, 36 of the 50 patients showed an attenuated cortisol response, while 14 patients did not display improvement or exhibited even aggravation of the altered HPA system function. Improved HPA system regulation in the second DEX/CRH test was associated with beneficial treatment response after 5 weeks and a higher remission rate at the end of hospitalization. The results suggest that change in HPA system regulation assessed with repeated DEX/CRH tests is a potential biomarker that may predict clinical outcome at follow-up. There is consensus that the drug development process could be improved, once reliable biomarkers become available that help to allow a judgement regarding the efficacy of a novel drug candidate. The combined DEX/CRH test seems to be a promising candidate for such a biomarker.