Many variables have been linked to different course trajectories of depression. These findings, however, are based on group comparisons with unknown translational value. This study evaluated the prognostic value of a wide range of clinical, psychological, and biological characteristics for predicting the course of depression and aimed to identify the best set of predictors. Eight hundred four unipolar depressed patients (major depressive disorder or dysthymia) patients were assessed on a set involving 81 demographic, clinical, psychological, and biological measures and were clinically followed-up for 2 years. Subjects were grouped according to (i) the presence of a depression diagnosis at 2-year follow-up (yes n = 397, no n = 407), and (ii) three disease course trajectory groups (rapid remission, n = 356, gradual improvement n = 273, and chronic n = 175) identified by a latent class growth analysis. A penalized logistic regression, followed by tight control over type I error, was used to predict depression course and to evaluate the prognostic value of individual variables. Based on the inventory of depressive symptomatology (IDS), we could predict a rapid remission course of depression with an AUROC of 0.69 and 62% accuracy, and the presence of an MDD diagnosis at follow-up with an AUROC of 0.66 and 66% accuracy. Other clinical, psychological, or biological variables did not significantly improve the prediction. Among the large set of variables considered, only the IDS provided predictive value for course prediction on an individual level, although this analysis represents only one possible methodological approach. However, accuracy of course prediction was moderate at best and further improvement is required for these findings to be clinically useful.