This study of depressed outpatients (N = 43) examined daily stress–sadness reactivity and the cortisol awakening response (CAR) as moderators of the relationship between self-critical (SC) perfectionism and depression over one year. Participants completed perfectionism measures at baseline (Time 1), daily diaries and salivary sampling six months later (Time 2), and an interviewer-rated depression measure at Time 1, Time 2, and one year after baseline (Time 3). Hierarchical multiple regression analyses of moderator effects demonstrated that patients with higher SC perfectionism and higher levels of daily stress–sadness reactivity (i.e., greater increases in daily sadness in response to increases in daily stress) had less improvement in depressive symptoms at Time 3 relative to those of other patients, adjusting for the effects of Time 1 and Time 2 depression. Furthermore, higher SC perfectionism in conjunction with an elevated CAR predicted higher levels of depression at Time 3. In addition, lower SC perfectionism in combination with higher levels of stress–sadness reactivity/CAR was associated with the lowest levels of depression at Time 3. These findings highlight the importance of targeting dysfunctional self-critical characteristics that exacerbate the impact of heightened stress–sadness reactivity and CAR to generate better treatment outcomes for patients with higher SC perfectionism.