Depression has often been associated with increased negative affect reactivity to stress (Stress-Sensitivity) and reduced capacity to experience pleasure or positive affect (Reward Experience). To date, no studies have prospectively examined changes in Stress-Sensitivity and Reward Experience following antidepressant treatment. The sample included 83 depressed patients and 22 healthy controls. A randomized controlled trial was carried out with patients receiving either imipramine or placebo for 6 weeks. At baseline and 6 weeks, patients and controls participated in an Experience Sampling procedure, prospectively measuring ecologically valid daily life appraisals of activities and mood states. The course of depression was assessed with the Hamilton Depression Rating Scale (HDRS). Multilevel linear regression analyses showed that patients had higher negative and lower positive appraisals of activities than controls. In addition, patients showed increased Stress-Sensitivity (negative affect reactivity to negatively appraised activities). Treatment with imipramine decreased Stress-Sensitivity and increased Reward Experience (positive affect reactivity to positively appraised activities). Changes in Stress-Sensitivity and Reward Experience were in part reducible to changes in the process of activity appraisal itself. However, increase in Reward Experience, but not decrease in Stress-Sensitivity, discriminated between patients who responded and those who did not, independent of changes in the process of activity appraisal itself. Response to treatment in depression may be conditional on restoration of hedonic capacity, the cerebral substrate of which requires further study in relation to antidepressant response. A search for (synergistic) antidepressant therapies specifically targeting ability to experience reward may be warranted.