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Objective: Depressive disorders are among the most common psychiatric disorders. For severely depressed patients, day clinic and inpatient settings represent important treatment options. However, little is known about patients’ perceptions of the different levels of care. This study aimed to obtain an in-depth analysis of depressive patients’ experiences of day clinic and inpatient treatment in a combined clinical setting. Methods. Following a randomized controlled trial comparing day clinic and inpatient psychotherapy for depression (Dinger et al. in Psychother Psychosom 83:194–195, 2014), a sample of depressive patients (n = 35) was invited to participate in a semi-structured interview during an early follow up 4 weeks after discharge. A qualitative analysis of interview transcripts was performed following the principles of constructivist thematic analysis. Results: Following analysis, 1355 single codes were identified from which five main categories and 26 themes were derived for both groups. In regard to patient group integration and skill transfer to everyday life, distinct differences could be observed between the day clinic and inpatient group. Conclusion: While adjustment to therapeutic setting and patient group integration seem to be facilitated by inpatient treatment, the day clinical setting appears to promote treatment integration into patients’ everyday contexts, aiding treatment-related skill transfer to everyday life as well as alleviating discharge from clinic treatment. Further studies on depressive subject groups in day clinic and inpatient treatment should investigate aspects of group cohesion and treatment integration in relation to therapeutic outcome.