The course of illness of 431 subjects with major depression participating in the National Institute of Mental Health Collaborative Depression Study was prospectively observed for 5 years. Twelve percent of the subjects still had not recovered by 5 years. There were decreasing rates of recovery over time. For example, 50% of the subjects recovered within the first 6 months, and then the rate of recovery declined markedly. Instantaneous probabilities of recovery reflect that the longer a patient was ill, the lower his or her chances were of recovering. For patients still depressed, the likelihood of recovery within the next month declined from 15% during the first 3 months of follow-up to 1% to 2% per month during years 3, 4, and 5 of this follow-up. The severity of current psychopathology predicted the probability of subsequent recovery. Subjects with moderately severe depressive symptoms, minor depression, or dysthymia had an 18-fold greater likelihood of beginning recovery within the next week than did subjects who were at full criteria for major depressive disorder. Many subjects who did not recover continued in an episode that looked more like dysthymia than major depressive disorder.