Abstract Study Objectives Major depressive disorder (MDD) is the leading cause of disability worldwide. Its high recurrence rate calls for prevention of first-onset MDD. Although meta-analysis suggested insomnia as the strongest modifiable risk factor, previous studies insufficiently addressed that insomnia might also occur as a residual symptom of unassessed prior depression, or as a comorbid complaint secondary to other depression risks. Methods In total, 768 participants from the Netherlands Study of Depression and Anxiety who were free from current and lifetime MDD were followed-up for four repeated assessments, spanning 6 years in total. We performed separate Cox proportional hazard analyses to evaluate whether baseline insomnia severity, short-sleep duration, and individual insomnia complaints prospectively predicted first-onset MDD during follow-up. The novel method of network outcome analysis (NOA) allowed us to sort out whether there is any direct predictive value of individual insomnia complaints among several other complaints that are associated with insomnia. Results Over 6-year follow-up, 141 (18.4%) were diagnosed with first-onset MDD. Insomnia severity but not sleep duration predicted first-onset MDD (HR = 1.11, 95% CI: 1.07–1.15), and this was driven solely by the insomnia complaint difficulty initiating sleep (DIS) (HR = 1.10, 95% CI: 1.04–1.16). NOA likewise identified DIS only to directly predict first-onset MDD, independent of four other associated depression complaints. Conclusions We showed prospectively that DIS is a risk factor for first-onset MDD. Among the different other insomnia symptoms, the specific treatment of DIS might be the most sensible target to combat the global burden of depression through prevention.