We evaluated optimistic belief updating (the finding that healthy individuals update their beliefs more following good news than bad) for positive and negative life events in individuals experiencing depression (n = 54) and healthy controls (n = 56). We have provided the raw questionnaire data (depression, anxiety, optimism) and belief updating task, as well as the cleaned data used for analysis. Code for cleaning and analysing data is available for use in R. Based on this data we found that whereas healthy participants updated their beliefs more following good news than bad, individuals experiencing depression lacked this bias. Our findings for positive life events were inconclusive, but on balance suggested that reduced optimistic belief updating in depression did not occur.