Depression is a potentially life threatening affective disorder that is highly prevalent in individuals with autism spectrum disorders (ASD). This study aimed to evaluate the feasibility, acceptability and preliminary efficacy of a cognitive behavioural intervention for depression in adolescents with ASD. Participants were randomly assigned to the intervention group, or wait-list control group. Although recruitment was extremely difficult, attendance was favourable and attrition was low, and participants reported being satisfied with the programme. No significant treatment effect was revealed on the Beck Depression Inventory or Emotion Regulation Questionnaire. However despite the small sample size (n = 20), there was a trending treatment effect measured by the Depression Anxiety Stress Scale: Depression Subscale. Limitations and areas of future research are discussed.