BACKGROUND In major depression (MDD), hospital treatment is an option in more severe cases or if outpatient treatment failed. Psychosomatic hospitals in Germany provide treatment programs with multimodal psychotherapy, either in an inpatient or a day hospital setting. In the context of health care research, this study aimed (1) to compare characteristics of patients treated in psychosomatic day hospitals and inpatient units, (2) to compare the effectiveness of both treatment modalities. METHODS A naturalistic design was chosen to achieve external validity. 604 consecutive patients were assessed at admission, discharge and a 3-month follow-up. Primary outcome was defined as a reduction of depressive symptomatology (QIDS-C), secondary outcomes comprise overall functioning and quality of life. For a comparison of effectiveness, inpatient and day hospital samples were matched according to known predictors of outcome. RESULTS The few differences found between the inpatient and day hospital sample were related to severity of depression and physical impairment. Inpatients more often got antidepressant medication. Additionally, inpatients were treated significantly longer, due to a subgroup of patients with somatic co-morbidity. There were no differences when comparing effectiveness. LIMITATIONS When comparing treatment effectiveness, possible bias cannot be ruled out. There was no randomization or untreated control group. CONCLUSIONS In patients with a more severe depression and somatic co-morbidity, inpatient treatment might be preferred as compared to day hospital treatment. However, most patients can be treated in both settings.