Background: Factors associated with depression are usually identified from cross-sectional studies. Aims: We explore the relative roles of onset and recovery in determining these associations. Method: Hazard ratios for onset and recovery were estimated for 39 risk factors from a cohort study of 10045 general practice attendees whose depression status was assessed at baseline, 6 and 12 months. Results: Risk factors have a stronger relative effect on the rate of onset than recovery. The strongest risk factors for both onset and maintenance of depression tend to be time-dependent. With the exception of female gender the strength of a risk factor's effect on onset is highly predictive of its impact on recovery. Conclusions: Preventive measures will achieve a greater reduction in the prevalence of depression than measures designed to eliminate risk factors post onset. The strength of time-dependent risk factors suggests that it is more productive to focus on proximal rather than distal factors.