Numerous studies have shown that the hypothalamic-pituitary-adrenal (HPA) axis is hyperactive in some depressed patients. It is unclear whether such hyperactivity results in changed volumes of the adrenal glands, pituitary gland and hypothalamus. We systematically reviewed all controlled studies on the adrenal or pituitary glands or hypothalamus volume in unipolar depressive disorder published in PubMed 1966 to December 2009. We identified three studies that investigated the volume of the adrenal glands and eight studies that examined the volume of the pituitary gland, but no studies on hypothalamus were found. Two out of three studies found a statistically significant increase in adrenal volume in patients compared to controls. Four out of eight studies found a statistically significant increase in pituitary volume in patients compared to controls. Different methodological problems were identified such as small population samples, different subtypes of depression and insufficient matching of patients and controls. Due to large heterogeneity of study designs and data, it was futile to make a meta-analysis. It is concluded that it remains unclear whether hyperactivity of the HPA axis results in enlarged adrenal and pituitary glands and it is suggested that prospective studies should be conducted with scanning during successive depressive episodes and periods of remission.