Major depressive disorder (MDD) is often associated with dysregulation of the hypothalamic–pituitary–adrenal (HPA) axis by chronic stress. In comparison, psychosocial stress-induced activation of salivary α-amylase (sAA) functions as a marker of sympathoadrenal medullary system (SAM) activity. However, in contrast to salivary cortisol, sAA has been less extensively studied in MDD patients. The present study measured sAA and salivary cortisol levels in patients with MDD. The authors determined Profile of Mood State (POMS) and State-Trait anxiety Inventory (STAI) scores, Heart Rate Variability (HRV), and sAA and salivary cortisol levels in 88 patients with MDD and 41 healthy volunteers following the application of electrical stimulation stress. Patients with major depressive disorder were 8 points or more on Hamilton Depression Scale (HAM-D) scores. Tension–Anxiety, Depression–Dejection, Anger–Hostility, Fatigue, and Confusion scores in patients with major depressive disorder were significantly increased compared to healthy controls. In contrast, Vigor scores in patients with MDD were significantly decreased compared with healthy controls. There was no difference in heart rate variability measures between MDD patients and healthy controls. The threshold of electrical stimulation applied in MDD patients was lower than that in healthy controls. SAA levels in female MDD patients were significantly elevated relative to controls both before and after electrical stimulation. Finally, there were no differences in salivary cortisol levels between major depressive patients and controls. In the present study only three time points were explored. Furthermore, the increased secretion of sAA before and after stimulation could allude to an increased responsiveness of novel and uncontrollable situations in patients with MDD. These preliminary results suggest that sAA might be a useful biological marker of MDD.