Objective: Recent data suggest that the low thyroid function syndrome in depression is nonspecific, They also suggest that depression may constitute a risk factor for the development of dementia, especially in atypical patients who have high rates of hypothalamo–pituitary–adrenal axis disorders. This study aimed to search for correlations among Dexamethasone Suppression Test (DST) cortisol levels, thyroid indices, and family history of dementia in patients with depression. Methods: A sample of 30 patients, aged 21 to 60 years and suffering from major depression according to DSM-IV criteria, took part in the study. Three had a family history of dementia in first-degree relatives. We measured their serum levels of free T3, free T4, thyroid-stimulating hormone, thyroid binding inhibitory immunoglobulines, thyroglobulin antibodies, and thyroid microsomal antibodies (TMAs). We applied the 1-mg DST to all patients. The statistical analysis included 1-way multivariate analysis of covariance using t tests as the post hoc tests. Results: Significantly higher levels of TMAs were found in patients with a family history of dementia, compared with those who did not have this family history. Conclusion: The results of this study suggest that a more pronounced autoimmune process may characterize depression patients with a family history of dementia.