The present study sought to clarify the role of cognitive change in Cognitive Behavioural Therapy (CBT) by examining the relationship between depression outcome and changes to automatic thoughts and dysfunctional attitudes at different points of therapy. Thirty patients suffering from Major Depression (MDD) or Dysthymia attended the 12 sessions of a group CBT program. Multiple regressions found total scores on the Automatic Thoughts Questionnaire (ATQ) and cumulative change scores on the Dysfunctional Attitudes Scale (DAS) to predict scores on the Beck Depression Inventory (BDI) at later stages of therapy, though neither form of cognition was predictive from earlier stages of therapy. Only scores on the ATQ were significantly related to both cognitive and somatic subscales of the BDI, indicating that automatic thoughts are more directly related to cognitive change than dysfunctional attitudes. Overall findings suggest that significant reductions in both automatic thoughts and dysfunctional attitudes are related to non-clinical levels of depressive symptoms at the end of the treatment.