Patients with major depressive disorder have repeatedly been described to exhibit increased thresholds upon experimentally applied pain stimuli to the skin as compared to respective controls. Since the sensory-discriminative component of stimulus perception, e.g. for warmth, cold and vibration, appears to be unaltered in depression, higher central nervous centres have been assumed to cause this phenomenon. To date, hardly any attention has been paid to the efferent components of the noxious reflex loop. Here, we aimed to assess the autonomic reaction upon a painful stimulus and to examine whether this is likewise reduced in major depression. For this purpose, sympathetic skin response was obtained from 22 patients with major depression and 20 matched controls. To induce sympathetic skin responses, we applied either noxious electrical stimuli (12 and 18 mA) or innocuous acoustic stimuli (85 dB SPL). Pain intensity was rated using a numeric analogue scale. In contrast to our a priori hypothesis patients showed shorter latencies and higher amplitudes of skin potentials upon noxious stimulation, i.e. a stronger sympathetic response. Intriguingly, the noxious stimuli were still perceived less painful in the patient group. Pain perception weakly correlated with disease severity. From these data, we conclude that despite the diminished pain perception, the autonomic reflex loop following noxious stimulation is not affected in patients with major depressive disorder, and that the increase in sympathetic outflow is not directly related to the perceived pain as in controls, but might rather be attributed to the autonomic dysfunction known for the disease.