Background Identifying biomarkers of response to transcranial magnetic stimulation (TMS) in treatment-resistant depression is a priority for personalizing care. Clinical and neurobiological determinants of treatment response to TMS, while promising, have limited scalability. Therefore, evaluating novel, technologically driven, and potentially scalable biomarkers, such as digital phenotyping, is necessary. Objective This study aimed to examine the potential of smartphone-based digital phenotyping and its feasibility as a predictive biomarker of treatment response to TMS in depression. Methods We assessed the feasibility of digital phenotyping by examining the adherence and retention rates. We used smartphone data from passive sensors as well as active symptom surveys to determine treatment response in a naturalistic course of TMS treatment for treatment-resistant depression. We applied a scikit-learn logistic regression model (l1 ratio=0.5; 2-fold cross-validation) using both active and passive data. We analyzed related variance metrics throughout the entire treatment duration and on a weekly basis to predict responders and nonresponders to TMS, defined as ≥50% reduction in clinician-rated symptom severity from baseline. Results The adherence rate was 89.47%, and the retention rate was 73%. The area under the curve for correct classification of TMS response ranged from 0.59 (passive data alone) to 0.911 (both passive and active data) for data collected throughout the treatment course. Importantly, a model using the average of all features (passive and active) for the first week had an area under the curve of 0.7375 in predicting responder status at the end of the treatment. Conclusions The results of our study suggest that it is feasible to use digital phenotyping data to assess response to TMS in depression. Early changes in digital phenotyping biomarkers, such as predicting response from the first week of data, as shown in our results, may also help guide the treatment course.