In order to examine factors that influence the time to recovery (TTR) from depressive episodes in women, we examined members of 1030 female–female twin pairs of known zygosity, ascertained from a population-based twin registry. We predicted, in a Cox model, TTR in 235 women with an onset of an episode of major depression (MD) in the last year meeting DSM-III-R criteria. The median and mean TTR for episodes of MD was 42 and 82 days, respectively ; only 2·2% of women had not recovered by 1 year. Four variables predicted TTR: financial difficulties, obsessive–compulsive symptoms, severe life events (SLEs), and genetic risk. Dividing all depressive episodes meeting symptomatic DSM-III-R criteria into early (5–28 days) and late (>28 days) phases, significant predictors of TTR early in the course of illness (income, parental protectiveness and separation, personality, lifetime traumas and SLEs) differed from those that predicted TTR later in the depressive episode (health, social support, obsessive–compulsive symptoms, SLEs and genetic risk). Including cases with chronic MD increased the strength of personality, financial problems and genetic risk as predictors of slow TTR. These exploratory analyses suggest that TTR from MD in women is influenced by multiple environmental, temperamental and genetic factors. Predictors of TTR early and later in the course of MD may differ qualitatively, suggesting different processes in recovery from brief versus prolonged depressions.