BACKGROUND: Depressive symptoms are highly prevalent in first-episode psychosis (FEP) and worsen clinical outcomes. It is currently difficult to determine which patients will have persistent depressive symptoms based on a clinical assessment. We aimed to determine whether depressive symptoms and post-psychotic depressive episodes can be predicted from baseline clinical data, quality of life, and blood-based biomarkers, and to assess the geographical generalizability of these models. METHODS: Two FEP trials were analyzed: European First-Episode Schizophrenia Trial (EUFEST) (n = 498; 2002-2006) and Recovery After an Initial Schizophrenia Episode Early Treatment Program (RAISE-ETP) (n = 404; 2010-2012). Participants included those aged 15-40 years, meeting Diagnostic and Statistical Manual of Mental Disorders IV criteria for schizophrenia spectrum disorders. We developed support vector regressors and classifiers to predict changes in depressive symptoms at 6 and 12 months and depressive episodes within the first 6 months. These models were trained in one sample and externally validated in another for geographical generalizability. RESULTS: A total of 320 EUFEST and 234 RAISE-ETP participants were included (mean [SD] age: 25.93 [5.60] years, 56.56% male; 23.90 [5.27] years, 73.50% male). Models predicted changes in depressive symptoms at 6 months with balanced accuracy (BAC) of 66.26% (RAISE-ETP) and 75.09% (EUFEST), and at 12 months with BAC of 67.88% (RAISE-ETP) and 77.61% (EUFEST). Depressive episodes were predicted with BAC of 66.67% (RAISE-ETP) and 69.01% (EUFEST), showing fair external predictive performance. CONCLUSIONS: Predictive models using clinical data, quality of life, and biomarkers accurately forecast depressive events in FEP, demonstrating generalization across populations.