Objective: To determine which factors impact on the efficacy of cognitive behavioural therapy (CBT) for depression and anxiety. Factors considered include those related to clinical practice: disorder, treatment type, duration and intensity of treatment, mode of therapy, type and training of therapist and severity of patients. Factors related to the conduct of the trial were also considered, including: year of study, country of study, type of control group, language, number of patients and percentage of dropouts from the trial. Method: We used the technique of meta-analysis to determine an overall effect size (standardized mean difference calculated using Hedges' g) and meta-regression to determine the factors that impact on this effect size. We included randomized controlled trials with a wait list, pill placebo or attention/psychological placebo control group. Study participants had to be 18 years or older and all have diagnosed depression, panic disorder (with or without agoraphobia) or generalized anxiety disorder (GAD). Outcomes of interest included symptom, functioning and health-related quality of life measures, reported as continuous variables at post-treatment. Results: Cognitive behavioural therapy for depression, panic disorder and GAD had an effect size of 0.68 (95% CI=0.51–0.84, n=33 studies, 52 comparisons). The heterogeneity in the effect sizes was fully explained by treatment, duration of therapy, inclusion of severe patients in the trial, year of study, country of study, control group, language and number of dropouts from the control group. Disorder was not a significant predictor of the effect size. Conclusions: Cognitive behavioural therapy is significantly less effective for severe patients and trials that compared CBT to a wait-list control group found significantly larger effect sizes than those comparing CBT to an attention placebo, but not to a pill placebo. Further research is needed to determine whether CBT is effective when provided by others than psychologists and whether it is effective for non-English-speaking patient groups.