Objective: Major depressive disorder (MDD) is associated with abnormalities in the recognition of emotional stimuli. MDD patients ascribe more negative emotion but also less positive emotion to facial expressions, suggesting blunted responsiveness to positive emotional stimuli. To ascertain whether these emotional biases are modality-specific, we examined the effects of MDD on the recognition of emotions from voices using a paradigm designed to capture subtle effects of biases. Methods: Twenty-one MDD patients and 21 healthy controls (HC) underwent clinical and neuropsychological assessments, followed by a paradigm featuring pseudowords spoken by actors in five types of emotional prosody, rated on continuous scales. Results: Overall, MDD patients performed more poorly than HC, displaying significantly impaired recognition of fear, happiness and sadness. Compared with HC, they rated fear significantly more highly when listening to anger stimuli. They also displayed a bias toward surprise, rating it far higher when they heard sad or fearful utterances. Furthermore, for happiness stimuli, MDD patients gave higher ratings for negative emotions (fear and sadness). A multiple regression model on recognition of emotional prosody in MDD patients showed that the best fit was achieved using the executive functioning (categorical fluency, number of errors in the MCST, and TMT B-A) and the total score of the Montgomery–Asberg Depression Rating Scale. Conclusions: Impaired recognition of emotions would appear not to be specific to the visual modality but to be present also when emotions are expressed vocally, this impairment being related to depression severity and dysexecutive syndrome. MDD seems to skew the recognition of emotional prosody toward negative emotional stimuli and the blunting of positive emotion appears not to be restricted to the visual modality.