Standard depression treatments, including antidepressant medication and cognitive behavioural therapy (CBT), are ineffective for many patients. Prefrontal transcranial direct current stimulation (tDCS) has been proposed as an alternative treatment, but has shown inconsistent efficacy for depression, and its mechanisms are poorly understood. We recruited unmedicated patients with major depressive disorder (N = 71 approached; N = 39 randomised) for a mechanistic, double-blind, randomized controlled trial consisting of eight weekly sessions of prefrontal tDCS administered to the left prefrontal cortex prior to CBT. We probed (1) whether tDCS improved the efficacy of CBT relative to sham stimulation; and (2) whether neural measures predicted clinical response. We found a modest and non-significant effect of tDCS on clinical outcome over and above CBT (active: 50%; sham: 31.6%; odds ratio: 2.16, 95% CI = 0.59–7.99), but a strong relationship, predicted a priori, between baseline activation during a working memory task in the stimulated prefrontal region and symptom improvement. Repeating our analyses of symptom outcome splitting the sample according to this biomarker revealed that tDCS was significantly superior to sham in individuals with high left prefrontal cortex activation at baseline; we also show 86% accuracy in predicting clinical response using this measure. Exploratory analyses revealed several other regions where activation at baseline was associated with subsequent response to CBT, irrespective of tDCS. This mechanistic trial revealed variable, but predictable, clinical effects of prefrontal tDCS combined with CBT for depression. We have discovered a potential explanation for this variability: individual differences in baseline activation of the region stimulated. Such a biomarker could potentially be used to pre-select patients for trials and, eventually, in the clinic.