Alexithymia has been considered to have a negative influence on the course of symptoms in various psychiatric disorders. Only a few studies of depressed patients have examined whether alexithymia predicts the outcome of therapeutic interventions or the course of symptoms in naturalistic settings. This prospective study investigated whether alexithymia is associated with depressive symptoms after a multimodal inpatient treatment. Forty-five inpatients suffering from acute major depression were examined in the initial phase of treatment and then again after seven weeks. Patients took part in a multimodal treatment programme comprising psychodynamic-interactional oriented individual and group therapy. The majority of patients were taking antidepressants during study participation. To assess alexithymia and depressive symptoms, the 20-item Toronto Alexithymia Scale (TAS-20), the Beck Depression Inventory II (BDI-II) and the Hamilton Depression Scale (HAMD) were administered at baseline and follow-up. When controlling for baseline depressive symptoms along with trait anxiety, high scores in the externally oriented thinking (EOT) facet of alexithymia at baseline predicted high severity of depressive symptoms at follow-up (for self-reported as well as interviewer-based scores). Inpatients suffering from major depression with a more pronounced external cognitive style might benefit less from a routine multimodal treatment approach (including psychodynamic interactional therapy, antidepressant medication, and complementary therapies). Intervention programmes might modify or account for alexithymic characteristics to improve the course of depressive symptoms in these patients.