Objective: To examine the dynamic relationship between treatment expectations and treatment outcome over the course of a clinical trial for winter seasonal affective disorder (SAD). Method: Currently depressed adults with Major Depression, Recurrent with Seasonal Pattern (N = 177) were randomized to 6 weeks of group-delivered cognitive–behavioral therapy for SAD (CBT-SAD) or light therapy (LT). The majority were female (83.6%) and white (92.1%), with a mean age of 45.6 years. Treatment expectations for CBT-SAD and LT were assessed using a modification of the Treatment Expectancy and Credibility Survey (Borkovec & Nau, 1972). Depression severity was assessed using the Beck Depression Inventory-Second Edition (Beck, Steer, & Brown, 1996). All measures were administered at pretreatment, midtreatment, and posttreatment. Results: As treatment progressed, expectations for the treatment received increased across time steeply in CBT-SAD patients and moderately in LT patients. Collapsing across time, patients with higher treatment expectations had lower depression severity than those with lower treatment expectations. In a cross-lagged panel path analysis, there was a significant effect of treatment expectations at midtreatment on depression severity at posttreatment among CBT-SAD patients. Conclusions: Treatment expectations changed across treatment, affected outcome, and should be assessed and monitored repeatedly throughout treatment. Findings suggest that treatment expectations at midtreatment are a mechanism by which CBT-SAD reduces depression, which should be replicated in SAD samples and examined for generalizability to nonseasonal depression. These findings underscore the importance of further research examining treatment expectations in mediating CBT’s effects in depression and other types of psychopathology.