Background There exists very little evidence to guide clinical management for preventing recurrence of major depression. The objective of this study was to develop and validate a prediction algorithm for recurrence of major depression. Methods Wave 1 and wave 2 longitudinal data from the U.S. National Epidemiological Survey on Alcohol and Related Condition (2001/2002–2003/2004) were used. Participants with a major depressive episode at baseline and who had visited health professionals for depression were included in this analysis (n = 2,711). Mental disorders were assessed based on the DSM‐IV criteria. Results With the development data (n = 1,518), a prediction model with 19 unique factors had a C statistics of 0.7504 and excellent calibration (P = .23). The model had a C statistics of 0.7195 in external validation data (n = 1,195) and 0.7365 in combined data. The algorithm calibrated very well in validation data. In the combined data, the 3‐year observed and predicted risk of recurrence was 25.40% (95% CI: 23.76%, 27.04%) and 25.34% (95% CI: 24.73%, 25.95%), respectively. The predicted risk in the 1st and 10th decile risk group was 5.68% and 60.21%, respectively. Conclusions The developed prediction model for recurrence of major depression has acceptable discrimination and excellent calibration, and is feasible to be used by physicians. The prognostic model may assist physicians and patients in quantifying the probability of recurrence so that physicians can develop specific treatment plans for those who are at high risk of recurrence, leading to personalized treatment and better use of resources.