Objective: Cognitive Behaviour Therapy (CBT) for depression is popular in Western countries. In the context of Malaysia, CBT has been applied as an individual session in a clinical setting. However, there is limited research in the area of group CBT for depression among Malays. The aim of this study is to investigate the effectiveness of Group Cognitive Behavioural Therapy (GCBT) in reducing the negative cognitions that are related to depression in a group of Malay patients. Methods: One hundred and thirteen patients, diagnosed with depression, were randomly allocated to either a Treatment As Usual (TAU) group (n = 55), or a TAU plus GCBT group (n = 58). All participants completed two questionnaires that measured maladaptive cognitions at pre-treatment, midway through treatment, post-treatment (week 4), and at follow-ups after three (week 16) and six months (week 28). Results: The TAU+GCBT patients improved significantly more, and at a faster rate, than the TAU group; which showed minimal improvement. The effect size (Cohen’s d) of the treatment group was 0.93 and 96.55% of the treatment group achieved a clinically significant change. Conclusions: The findings suggest that GCBT, when used in addition to the TAU, is effective in reducing negative thoughts and maladaptive attitudes of Malaysian patients suffering from depression.