As part of a longitudinal nosologic study of major depressive disorder, dysthymic disorder (DD), and adjustment disorder with depressed mood ( ADDM ) in a school-aged cohort, the predictive validity of each diagnosis was examined. Using all available data on the course of the disorders, the criterion was the first subsequent major depressive episode. Major depressive disorder and DD signaled a similarly high risk of a new bout of depressive illness. For the children who recovered from their first episode of major depression and then had their second one (40%), the free interval did not exceed two years; an underlying dysthymia increased the risk of recurrence. Major depression and dysthymia were distinct from ADDM and a set of control disorders; the latter two diagnostic groups were associated with a minimal risk for major depression.