Aims. The aim of this systematic review of economic evaluations alongside randomised controlled trials (RCTs) was to provide a comprehensive overview of the evidence concerning cost-effectiveness analyses of common treatment options for major depression. Methods. An existing database was used to identify studies reporting cost-effectiveness results from RCTs. This database has been developed by a systematic literature search in the bibliographic databases of PubMed, PsychINFO, Embase and Cochrane library from database inception to December 2014. We evaluated the quality of economic evaluations using a 10-item short version of the Drummond checklist. Results were synthesised narratively. The risk of bias of the included RCTs was assessed, based on the Cochrane risk of bias assessment tool. Results. Fourteen RCTs were included from the 5580 articles screened on titles and abstracts. The methodological quality of the health economic evaluations was relatively high and the majority of the included RCTs had low risk of bias in most of Cochrane items except blinding of participants and personnel. Cognitive behavioural therapy was examined in seven trials as part of a variety of treatment protocols and seems cost-effective compared with pharmacotherapy in the long-term. However cost-effectiveness results for the combination of psychotherapy with pharmacotherapy are conflicting and should be interpreted with caution due to limited comparability between the examined trials. For several treatments, only a single economic evaluation was reported as part of a clinical trial. This was the case for comparisons between different classes of antidepressants, for several types of psychotherapy (behavioural activation, occupational therapy, interpersonal psychotherapy, short-term psychotherapy, psychodynamic psychotherapy, rational emotive behavioural therapy, solution focused therapy), and for transcranial magnetic stimulation v. electroconvulsive therapy. The limited evidence base for these interventions means generalisations, based on economic evaluation alongside clinical trials, cannot easily be made. Conclusions. There is some economic evidence underpinning many of the common treatment options for major depression. Wide variability was observed in study outcomes, probably attributable to differences in population, interventions or follow-up periods. For many interventions, only a single economic evaluation alongside clinical trials was identified. Thus, significant economic evidence gaps remain in the area of major depressive disorder.