Anhedonia is one of the two core symptoms of MDD, described as the decreased ability to experience pleasure in daily life. We aimed to describe anhedonia in everyday life of patients with Major Depressive Disorder (MDD), and investigate its link to social stress. We semi-randomly sampled anhedonia and social stress ten times a day, for seven consecutive days, by means of Experience Sampling Methods in the daily life of 53 MDD patients. Results - Multilevel analyses showed that anhedonia was less severe when patient were in company of others (versus being alone). Social stress was linked to anhedonia, both concurrently and prospectively. Albeit less strongly, anhedonia also prospectively predicted increases in social stress. Conclusions - Experiencing an increase in social stress makes it harder for depressed patients to experience pleasure in both current and future activities, suggesting that social stressors might put MDD patients at risk for the development of anhedonia.