Background: Subgrouping methods have the potential to support treatment decision making for patients with depression. Such approaches have not been used to study the continued course of depression or likelihood of relapse following treatment. Method: Data from individual participants of seven randomised controlled trials were analysed. Latent profile analysis was used to identify subgroups based on baseline characteristics. Associations between profiles and odds of both continued chronic depression and relapse up to one year post-treatment were explored. Differences in outcomes were investigated within profiles for those treated with antidepressants, psychological therapy, and usual care. Results: Seven profiles were identified; profiles with higher symptom severity and long durations of both anxiety and depression at baseline were at higher risk of relapse and of chronic depression. Members of profile five (likely long durations of depression and anxiety, moderately-severe symptoms, and past antidepressant use) appeared to have better outcomes with psychological therapies: antidepressants vs. psychological therapies (OR (95% CI) for relapse = 2.92 (1.24–6.87), chronic course = 2.27 (1.27–4.06)) and usual care vs. psychological therapies (relapse = 2.51 (1.16–5.40), chronic course = 1.98 (1.16–3.37)). Conclusions: Profiles at greater risk of poor outcomes could benefit from more intensive treatment and frequent monitoring. Patients in profile five may benefit more from psychological therapies than other treatments.