Background: Childhood trauma represents a risk factor for developing depression with increased rates of recurrence. Mechanisms involved include a disturbed regulation of the hypothalamic–pituitary–adrenal (HPA) axis. Hair cortisol concentration (HCC) is a measure of long-term HPA axis activity with less interference from circadian and confounding factors. However, no study has so far used HCC to investigate the role of childhood trauma in recurrent pattern of depressive symptoms. Methods: A community-based sample of 500 participants was recruited, and depression was assessed at 3 time points using the Revised Clinical Interview Schedule. The Childhood Trauma Questionnaire was administered to identify a history of childhood trauma. Hair samples were obtained from 144 participants for analysis of cortisol. Results: Patients with recurrent depression had higher rates of childhood trauma compared to participants with no depression. Participants with current-only depression had increased HCC compared to the no depression group, while this was absent in participants with recurrent depression. Within the depressed group (both current-only and recurrent depression), those with a history of childhood physical abuse had lower HCC when compared to those with no such history. Conclusions: Our findings show that retrospectively reported childhood trauma is associated with protracted trajectories of depression and a distinct pattern of long-term HPA axis activity.