There are no studies of the natural history of major depressive disorder that lack prevalence and clinic biases. To estimate risk factors for first lifetime onset and parameters of chronicity following the first episode, including duration, recovery, and recurrence, and to search for predictors of each parameter. Prospective population-based cohort study with 23 years of follow-up. East Baltimore, Maryland, an urban setting. Probability sample of 3481 adult household residents in 1981, including 92 with first lifetime onset of major depressive disorder during the course of the follow-up, and 1739 other participants followed up for at least 13 years. Diagnostic Interview Schedule and Life Chart Interview. Female participants showed higher risk of onset of disorder, longer duration of episodes, and a nonsignificant tendency for higher risk of recurrence. Sex was not related to recovery. The median episode length was 12 weeks. About 15% of 92 individuals with first episodes did not have a year free of episodes, even after 23 years. About 50% of first episode participants recovered and had no future episodes. The evolution of the course was relatively stable from first to later episodes. Individuals with 1 or 2 short alleles of the serotonin transporter gene were at higher risk for an initial episode, but experienced episodes of shorter duration. There were few strong predictors of recovery or recurrence. Major depressive disorder is unremitting in 15% of cases and recurrent in 35%. About half of those with a first-onset episode recover and have no further episodes.