Post-traumatic stress disorder (PTSD) is often comorbid with major depressive episodes (MDEs) and both conditions carry a higher rate of suicidal behavior. Hypothalamic-pituitary-adrenal (HPA) axis and serotonin abnormalities are associated with both conditions and suicidal behavior, but their inter-relation is not known. We determined cortisol response to placebo or fenfluramine in MDE, MDE and PTSD (MDE+PTSD), and healthy volunteers (HVs) and examined the relation of cortisol responses to suicidal behavior. A total of 58 medication-free patients with MDE (13 had MDE+PTSD) and 24 HVs were studied. They received placebo on the first day and fenfluramine on the second day. Cortisol levels were drawn before challenge and for 5 h thereafter. The MDE+PTSD group had the lowest plasma cortisol, the MDE group had the highest, and HVs had intermediate levels. There were no group differences in cortisol response to fenfluramine. Suicidal behavior, sex, and childhood history of abuse were not predictors of baseline or postchallenge plasma cortisol. Cortisol levels increased with age. This study finds elevated cortisol levels in MDE and is the first report of lower cortisol levels in MDE+PTSD. The findings underscore the impact of comorbidity of PTSD with MDE and highlight the importance of considering comorbidity in psychobiology.