PURPOSE Our aim is to examine which risk factors have a greater impact in women than in men on the risk of major depressive disorder (MDD) and whether factors differ between a possible recurrent MDD and a first onset of MDD. METHODS Prospective cohort study of general practice attendees in seven countries, who were followed up at 6 and 12 months (predictD). Absolute risk differences (interaction contrast) across sex for onset of DSM-IV MDD after 6 or 12 months of follow-up were estimated for 35 risk factors from 7101 participants without MDD at baseline. RESULTS A total of 599 participants (80% female) had an onset of MDD at 6 or 12 months. Most risk factors had a greater impact in women than in men on the risk of MDD and were not restricted to a specific class of risk factors. After we stratified for a history of depressive symptoms, we found that the impact of risk factors across sex was generally stronger on possible recurrent MDD than on a first onset of MDD. CONCLUSIONS Our findings may partly account for the observed difference in incidence of MDD between men and women.