Recurrent and chronic major depressive disorder (MDD) accounts for a substantial part of the disease burden because this course is most prevalent and typically requires long-term treatment. We associated blood DNA methylation profiles from 581 MDD patients at baseline with MDD status 6 years later. A resampling approach showed a highly significant association between methylation profiles in blood at baseline and future disease status (P = 2.0 × 10−16). Top MWAS results were enriched specific pathways, overlapped with genes found in GWAS of MDD disease status, autoimmune disease and inflammation, and co-localized with eQTLS and (genic enhancers of) of transcription sites in brain and blood. Many of these findings remained significant after correction for multiple testing. The major themes emerging were cellular responses to stress and signaling mechanisms linked to immune cell migration and inflammation. This suggests that an immune signature of treatment-resistant depression is already present at baseline. We also created a methylation risk score (MRS) to predict MDD status 6 years later. The AUC of our MRS was 0.724 and higher than risk scores created using a set of five putative MDD biomarkers, genome-wide SNP data, and 27 clinical, demographic and lifestyle variables. Although further studies are needed to examine the generalizability to different patient populations, these results suggest that methylation profiles in blood may present a promising avenue to support clinical decision making by providing empirical information about the likelihood MDD is chronic or will recur in the future.