Background: Major depressive disorder (MDD) causes a massive disease burden worldwide. Cognitive behavioural therapy (CBT) is an important treatment approach for depression. Cost-utility analysis (CUA) is a method to support decisions on efficient allocation of resources in health policy. The objective of our study was to systematically review CUA of CBT in the treatment of patients suffering from MDD. Methods: We conducted a systematic literature search in Medline, Embase, PsycINFO and National Health Service Economic Evaluation Database (NHS EED) to identify CUA of CBT for MDD. Cost data were inflated to the year 2011 and converted into USD using purchasing power parities (USD PPP) to ensure comparability of the data. Quality assessment of CUA was performed. Results: Twenty-two studies were included in this systematic review. No study employed a time horizon of more than 5 years. In most studies, individual and group CBT as well as CBT for maintenance showed acceptable incremental cost-utility ratios (<50,000 USD PPP/quality-adjusted life year). The CUA results of CBT for children and adolescents and of computerized CBT were inconsistent. Discussion: We found consistent evidence that individualized CBT is cost-effective from the perspective of a third-party payer for short-term treatment and for relapse prevention of MDD in the adult population.