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Currently, there are no neurobiological markers of clinical response for cognitive behavioural therapy (CBT) used in clinical practice. We investigated the neural pattern of activity to implicit processing of sad facial expressions as a predictive marker of clinical response. Sixteen medication-free patients in an acute episode of major depression underwent functional magnetic resonance imaging scans before treatment with CBT. Nine patients showed a full clinical response. The pattern of activity, which predicted clinical response, was analysed with support vector machine and leave-one-out cross-validation. The functional neuroanatomy of sad faces at the lowest and highest intensities identified patients, before the initiation of therapy, who had a full clinical response to CBT (sensitivity 71%, specificity 86%, P = 0.029).