There is evidence for insulin resistance in drug-naïve first-episode schizophrenia (Sz) patients. We have tested whether impaired insulin homeostasis is also present in first-episode patients with major depression (MD) and if this can be discerned from stress-related and medication effects. Homeostatic model assessment of insulin resistance (HOMA-IR) was determined in a cross-sectional cohort study of acute first-episode drug-naïve patients with MD (n = 18) or Sz (n = 24), and healthy controls (C, n = 43). Morning cortisol and catecholamine metabolites were assessed to control for hormonal stress axis activation. Subjects were matched for sex, age, body mass index and waist-hip ratio to exclude the possibility that overweight and visceral adiposity were potential confounding factors. HOMA-IR did not differ between MD and controls, but was increased in Sz compared to MD (p = 0.002) and controls (p = 0.012). Catecholamine metabolites were elevated in both patient groups, indicating presence of hormonal stress axis activation. However, diagnosis-related changes of HOMA-IR were independent from this. Impaired insulin sensitivity was absent in MD, but specifically related to the early disease course of Sz. Thus, considering previous studies in this field, MD may be related to impaired glucose/insulin homeostasis in the long-term but not in early disease stages.