Background: Cognitive reactivity is the change in depressive thinking in response to negative mood. Previous research indicates that cognitive reactivity is an important variable in the etiology and course of depression. The present study tested which time interval after a negative mood induction is critical for the prediction of the depression risk. Methods: Participants suffering from a major depressive disorder were recruited when entering inpatient treatment. At the end of inpatient treatment they completed an experimental procedure to assess their depressive thinking once before and twice after a negative mood induction. Subsequently, patients were followed up for 26 weeks. Results: The immediate change in depressive thinking in response to the negative mood induction was negatively associated with future depression. The delayed change did not predict the depression risk. Conclusion: The negative association between the immediate change in depressive thinking and the depression risk is not in line with results from previous studies on cognitive reactivity. Previous research on emotion context insensitivity and the avoidance of negative thoughts offers hypotheses which could account for this result. Further research is needed to shed light on the processes underlying cognitive reactivity.