<b><i>Background:</i></b> Much is still unclear about the mechanisms underlying the course of major depressive disorder (MDD). This study aimed to identify risk factors that predict a poor prognosis of MDD while taking into consideration its chronicity at baseline. <b><i>Methods:</i></b> In patients with MDD (n = 767), we examined whether baseline clinical factors, sociodemographics, childhood trauma, personality and life events predicted the 4-year course (i.e. sustained recovery, temporary recovery and chronic course) of MDD. Baseline chronicity of MDD was taken into account by testing whether associations were different for patients with nonchronic versus chronic MDD at baseline. <b><i>Results:</i></b> In patients with nonchronic MDD at baseline, 27.8% developed a chronic disorder during follow-up, whereas 53.0% of patients with chronic MDD at baseline had a persistent chronic disorder during follow-up. Severity of MDD, childhood trauma and greater age were important general risk factors for a poor prognosis, independent of MDD chronicity at baseline. In contrast, low extraversion was only important for the course of nonchronic MDD at baseline, while higher education and negative life events (in patients with high neuroticism) were only relevant for the course of chronic MDD at baseline. <b><i>Conclusions:</i></b> One out of 4 patients with nonchronic MDD progressed to a chronic disorder, while half of the patients with chronic MDD remained chronic during follow-up. Since several risk factors for a poor prognosis differed for patients with nonchronic and chronic MDD at baseline, treatment targets should be adjusted for current chronicity of MDD.