Previous research demonstrated that depression is associated with hyperactivity of the hypothalamus-pituitary-adrenocortical (HPA) system after stimulation. There is also strong evidence that the modulation of corticosteroids in the brain induces memory dysfunction which represents core features of depression. Antidepressant treatment with serotonin reuptake inhibitors (SSRIs) alleviates both dysfunctions. Thus, these previous observations propose a correlation between treatment induced changes of the endocrinological response of the HPA system to challenge with dexamethasone and CRH and changes of memory functions during antidepressant treatment. This study explores the relationship between depression, memory functions and the responsiveness of the HPA system as assessed by the combined DEX/CRH test during antidepressant treatment in n = 64 patients with major depression during a four weeks treatment with citalopram. We found that treatment induced changes of the cortisol response pattern in the DEX/CRH test were correlated with improvement of working memory but not so with episodic memory, sustained attention or global severity of depression. We suggest that improvement of working memory is more sensitive to the changes of hormones of the HPA system (e.g. cortisol) than other cognitive functions and the global severity of depression.