Previous research suggests that psychotic major depression (PMD) is associated with greater illness severity and functional impairment as well as poorer treatment response to antidepressants and psychotherapies compared with nonpsychotic major depression. Although patients with PMD exhibit a number of neurobiological abnormalities, little research has been conducted to date on possible psychological factors that are related to illness in this depression subtype. In the current study, baseline data were pooled from 2 clinical trials in which depressed patients (n = 235) were recruited during a psychiatric hospitalization for an acute episode. Twelve percent (n = 28) of this treatment-seeking sample met criteria for PMD and showed elevated levels of depression severity and dysfunctional beliefs compared with individuals with nonpsychotic major depression. However, even after controlling for depression severity and other relevant baseline variables, only a measure of common dysfunctional beliefs differentiated those with vs those without psychotic features. Furthermore, higher levels of depressive cognitions were related to poorer psychosocial functioning and suicidality in PMD patients. Results suggest that elevated levels of common negative cognitions in depressed patients may be associated with the presence of more severe psychotic symptoms. Adapted cognitive-behavioral treatments may be useful for treating patients with PMD specifically.