CBT, a type of talking psychotherapy, was found to benefit nearly half of the 234 patients who received it combined with normal care from their General Practitioner(GP), media reported.
CBT can help people with depression change the way they think to improve how they feel and alter their behaviour.
The study followed 469 patients with treatment-resistant depression picked from GP practices in Bristol, Exeter and Glasgow over 12 months.
One group of patients continued with their usual care from their GP, which could include anti-depressant medication, while the second group was also treated with CBT.
After six months, researchers found 46 per cent of those who had received CBT reported at least a 50 per cent reduction in their symptoms.
This compared with 22 per cent experiencing the same reduction in the other group.
The study published in The Lancet journal concluded that CBT was effective in reducing symptoms and improving patients' quality of life. The improvements had been maintained for a period of 12 months.
"While the addition of CBT was effective for patients who had not responded to anti-depressants, not everyone who received CBT got better. These patients had severe and chronic depression so it is unlikely that one treatment would be effective for everyone," Dr Nicola Wiles, from the Centre for Mental Health, Addiction and Suicide Research at the University of Bristol, said.
The patients who did benefit from cognitive behavioural therapy spent one hour a week with a clinical psychologist learning skills to help change the way they think.
"The research used a CBT intervention alongside treatment with anti-depressants. It confirms how these approaches - the psychological and physical - can complement each other," Chris Williams, professor of psychosocial psychiatry at the University of Glasgow, and part of the research team, said.
"It was also encouraging because we found the approach worked to good effect across a wide range of people of different ages and living in a variety of settings," Williams said.
Paul Farmer, chief executive at the mental health charity Mind, said there was no "one size fits all" treatment for people with mental health problems.
"We welcome this research because it recognises that patients should have the right to a wide range of treatment options based on individual needs," he said.