Stress is associated with the onset of depressive episodes, and cortisol hypersecretion is considered a biological risk factor of depression. However, the possible mechanisms underlying stress, cortisol and depressive behaviours are inconsistent in the literature. This study examined the interrelationships among stress, cortisol and observed depressive behaviours in female rhesus macaques for the first time and explored the possible mechanism underlying stress and depressive behaviour. Female monkeys were video-recorded, and the frequencies of life events and the duration of huddling were analysed to measure stress and depressive behaviour. Hair samples were used to measure chronic cortisol levels, and the interactions between stress and cortisol in the development of depressive behaviour were further evaluated. Significant correlations were found between stress and depressive behaviour measures and between cortisol levels and depressive behaviour. Stress was positively correlated with cortisol levels, and these two factors interacted with each other to predict the monkeys' depressive behaviours. This finding extends the current understanding of stress/cortisol interactions in depression, especially pertaining to females.