High rates of attrition have been reported in randomized controlled trials of patients with severe psychiatric illness, including psychotic depression (MDpsy). The purpose of this study is to examine factors associated with overall attrition and with subtypes of attrition in the Study of the Pharmacotherapy of Psychotic Depression (STOP-PD). Secondary analysis of data collected in a multi-site, randomized, placebo-controlled trial. Clinical services of academic hospitals. Participants comprised 259 persons with MDpsy, aged 18-93 years. The intervention consisted of the random allocation to 12 weeks of treatment of either olanzapine plus sertraline or olanzapine plus placebo. Demographic and clinical variables associated with overall non-completion and sub-types of non-completion of randomized treatment. One hundred and seventeen (45.2%) subjects did not complete 12 weeks of randomized treatment. In a logistic regression analysis, inpatient entry status, olanzapine monotherapy, and higher cumulative medical burden were statistically significant independent predictors of overall non-completion. In a multinomial logistic regression model that examined predictors of subtypes of non-completion, subjects who entered the study as an inpatient were less likely to complete because of inadequate efficacy as determined by the investigator, and older subjects were less likely to complete because of poorer tolerability. Subjects who were assigned to olanzapine monotherapy, younger subjects, and subjects who entered the study as inpatients were less likely to complete because of reasons other than efficacy or tolerability. Understanding factors that contribute to premature discontinuation in studies of MDpsy, and to the specific reasons for attrition, has the potential to improve the management of this disorder, as well as improve the design of future clinical trials of MDpsy.