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Objective: Treatment of major depressive disorder typically entails implementing treatments in a stepwise fashion until a satisfactory outcome is achieved. This study sought to identify factors that affect patients’ willingness to accept different second-step treatment approaches. Method: Participants in the Sequenced Treatment Alternatives to Relieve Depression (STAR*D) trial who had unsatisfactory outcomes after initial treatment with citalopram were eligible for a randomized second-step treatment trial. An equipoise-stratified design allowed participants to exclude or include specific treatment strategies. Analyses were conducted to identify factors associated with the acceptability of the following second-step treatments: cognitive therapy versus no cognitive therapy, any switch strategy versus any augmentation strategy (including cognitive therapy), and a medication switch strategy only versus a medication augmentation strategy only. Results: Of the 1,439 participants who entered second-step treatment, 1% accepted all treatment strategies, 3% accepted only cognitive therapy, and 26% accepted cognitive therapy (thus, 71% did not accept cognitive therapy). Those with higher educational levels or a family history of a mood disorder were more likely to accept cognitive therapy. Participants in primary care settings and those who experienced a greater side effect burden or a lower reduction in symptom severity with citalopram were more likely to accept a switch strategy as compared with an augmentation strategy. Those with concurrent drug abuse and recurrent major depressive disorder were less likely to accept a switch strategy. Conclusions: Few participants accepted all treatments. Acceptance of cognitive therapy was primarily associated with sociodemographic characteristics, while acceptance of a treatment switch was associated with the results of the initial treatment.