Background The influence of baseline severity has been examined for antidepressant medications but has not been studied properly for cognitive behavioural therapy (CBT) in comparison with pill placebo. Aims To synthesise evidence regarding the influence of initial severity on efficacy of CBT from all randomised controlled trials (RCTs) in which CBT, in face-to-face individual or group format, was compared with pill-placebo control in adults with major depression. Method A systematic review and an individual-participant data meta-analysis using mixed models that included trial effects as random effects. We used multiple imputation to handle missing data. Results We identified five RCTs, and we were given access to individual-level data (n=509) for all five. The analyses revealed that the difference in changes in Hamilton Rating Scale for Depression between CBT and pill placebo was not influenced by baseline severity (interaction P=0.43). Removing the non-significant interaction term from the model, the difference between CBT and pill placebo was a standardised mean difference of 0.22 (95% CI 0.42 to 0.02, P=0.03, l(2)=0%). Conclusions Patients suffering from major depression can expect as much benefit from CBT across the wide range of baseline severity. This finding can help inform individualised treatment decisions by patients and their clinicians.