Value-based decision-making impairment in depression is a complex phenomenon: while some studies did find evidence of blunted reward learning and reward-related signals in the brain, others indicate no effect. Here we test whether such reward sensitivity deficits are dependent on the overall value of the decision problem. We used a two-armed bandit task with two different contexts: one rich, one poor where both options were associated with an overall positive, negative expected value, respectively. We tested patients (N = 30) undergoing a major depressive episode and age, gender and socio-economically matched controls (N = 26). Learning performance followed by a transfer phase, without feedback, were analyzed to distangle between a decision or a value-update process mechanism. Finally, we used computational model simulation and fitting to link behavioral patterns to learning biases. Control subjects showed similar learning performance in the rich and the poor contexts, while patients displayed reduced learning in the poor context. Analysis of the transfer phase showed that the context-dependent impairment in patients generalized, suggesting that the effect of depression has to be traced to the outcome encoding. Computational model-based results showed that patients displayed a higher learning rate for negative compared to positive outcomes (the opposite was true in controls). Our results illustrate that reinforcement learning performances in depression depend on the value of the context. We show that depressive patients have a specific trouble in contexts with an overall negative state value, which in our task is consistent with a negativity bias at the learning rates level.