Distress tolerance refers to the perceived ability to experience and withstand negative emotional states. Minimal research has investigated distress tolerance in the context of mood disorders despite poor emotional coping featuring in theoretical models of depression. The aims of the current investigation were to identify the relationship between psychological distress tolerance and depression, and to evaluate the impact of distress tolerance on treatment adherence and outcome following an internet-based cognitive behavioural therapy (iCBT) program for depression (the Sadness Program). Study 1 included 75 patients prescribed the Sadness Program by their primary care practitioner. Study 2 included 34 patients diagnosed with a major depressive episode participating in a randomized trial. Results of both studies indicated a significant inverse relationship between distress tolerance (DTS) and both depression severity (PHQ9) and psychological distress (K10). Results of intent-to-treat (ITT) marginal model analyses demonstrated that the Sadness Program was effective in reducing depression symptoms and psychological distress (Cohen’s ds > 1), and in increasing distress tolerance (Cohen’s ds > .28). However, patients who entered treatment with lower distress tolerance scores evidenced higher baseline and post-treatment scores on the outcome measures following iCBT. Collectively the findings suggest that distress tolerance is an important variable to consider in the context of treatments for depression. Clinical implications, future directions, and limitations are discussed.