Depressive delusion is the key symptom of psychotic depression also known as major depressive disorder with psychotic features (ICD-10: F 32.3). Delusional topics are limited to guilt, impoverishment and hypochondria. Kurt Schneider described these as being the three primordial fears of human beings. Psychotic depression is distinguished by the particular severity and frequency of the episodes of illness as well as by increased suicidal tendencies. Although one in five patients with a major depression experiences psychotic symptoms, this condition is all too easily overlooked and the appropriate therapy is not initiated. Here we use case histories to illustrate some of the obstacles to diagnosis arising from the difficulty of identifying delusions hidden in a person's experience of depression, life history and personality. A targeted active exploration of these difficulties is significant taking into account the observable symptoms and not only the subjectively experienced symptoms. A phenomenological approach is chosen to explore the matter of depressive delusion and to investigate the interaction of delusion and affect and the special importance of anxiety for the genesis of delusion. In accordance with the current treatment recommendations and against this background, it is proposed that the pharmacological strategy should be supplemented by the use of benzodiazepines more often than has it has been in the past.