There is growing evidence for the important role of patients' outcome expectations to the process and outcome of psychotherapy, yet its relevance to group cognitive–behavioural therapy (CBT) for depression has not been examined. In an effort to fill this void, the present study investigated expectations for improvement among 80 psychiatric outpatients attending a group CBT program for depression. The study addressed the following four questions: (1) Which baseline patient characteristics might be associated with patients' expectations for improvement? (2) Does providing a rationale and outline for treatment affect patients' expectations? (3) Are patients' expectations related to the quality of therapeutic alliance? and (4) Are patients' expectations associated with the outcome of treatment? The main findings of the study are as follows: (a) baseline symptoms of depression, quality of life and current suicidal ideations were consistently associated with outcome expectancies; (b) outcome expectancies were unrelated to treatment completion status; (c) although expectancy ratings did not change significantly for the group as a whole, there was some variability in how individual patient's expectancy ratings changed; (d) baseline expectancies were related to early‐treatment alliance quality, but not to mid‐treatment alliance, whereas early‐treatment expectancies were significantly associated with mid‐treatment alliance; and (e) baseline expectations of favourable outcome had a negative association with improvement in anxiety symptoms, yet expectancy ratings from session 3 had a positive association with improvement in quality of life and interpersonal problems. Increases in expectancy ratings were significantly related to improvement in anxiety, quality of life and interpersonal problems. Copyright © 2012 John Wiley & Sons, Ltd. Key Practitioner Message Patients who present in a particularly hopeless and demoralized state are likely to have low expectations for a positive outcome of treatment. Efforts should be made in the first few sessions of therapy to mobilize patients' hope and expectation of success, for increases in one's expectations may facilitate a favourable treatment outcome. An optimistic outlook on the probability of success in treatment may contribute to the development of a strong working relationship between the patient and the therapist.