Objective Innovative moments (IMs) are new and more adjusted ways of thinking, acting, feeling and relating that emerge during psychotherapy. Previous research on IMs has provided sustainable evidence that IMs differentiate recovered from unchanged psychotherapy cases. However, studies with cognitive behavioural therapy (CBT) are so far absent. The present study tests whether IMs can be reliably identified in CBT and examines if IMs and symptoms' improvement are associated. Methods The following variables were assessed in each session from a sample of six cases of CBT for depression (a total of 111 sessions): (a) symptomatology outcomes (Outcome Questionnaire—OQ‐10) and (b) IMs. Two hierarchical linear models were used: one to test whether IMs predicted a symptom decrease in the next session and a second one to test whether symptoms in one session predicted the emergence of IMs in the next session. Results Innovative moments were better predictors of symptom decrease than the reverse. A higher proportion of a specific type of IMs—reflection 2—in one session predicted a decrease in symptoms in the next session. Thus, when clients further elaborated this type of IM (in which clients describe positive contrasts or elaborate on changes processes), a reduction in symptoms was observed in the next session. Discussion A higher expression and elaboration of reflection 2 IMs appear to have a facilitative function in the reduction of depressive symptoms in this sample of CBT. Copyright © 2016 John Wiley & Sons, Ltd. Key Practitioner Message Elaborating innovative moments (IMs) that are new ways of thinking, feeling, behaving and relating, in the therapeutic dialogue, may facilitate change. IMs that are more predictive of amelioration of symptoms in CBT are the ones focused on contrasts between former problematic patterns and new adjusted ones; and the ones in which the clients elaborate on processes of change. Therapists may integrate these kinds of questions (centred on contrasts and centred on what allowed change from the client's perspective), in the usual CBT techniques. When elaborating these IMs successfully, therapists may expect an improvement in symptoms in the next session of psychotherapy.