We consider the nonlinear rheology of dense colloidal suspensions under a time-dependent simple shear flow. Starting from the Smoluchowski equation for interacting Brownian particles advected by shearing (ignoring fluctuations in fluid velocity), we develop a formalism which enables the calculation of time-dependent, far-from-equilibrium averages. Taking shear stress as an example, we derive exactly a generalized Green-Kubo relation and an equation of motion for the transient density correlator, involving a three-time memory function. Mode coupling approximations give a closed constitutive equation yielding the time-dependent stress for arbitrary shear rate history. We solve this equation numerically for the special case of a hard sphere glass subject to step strain.