Owing to the unique opportunity to assess individuals before and after they develop depression within a short timeframe, interferon-α (IFN-α) treatment for chronic hepatitis C virus (HCV) infection is an ideal model to identify molecular mechanisms relevant to major depression, especially in the context of enhanced inflammation. Fifty-eight patients were assessed prospectively, at baseline and monthly over 24 weeks of IFN-α treatment. New-onset cases of depression were determined using the Mini International Neuropsychiatric Interview (MINI). Whole-blood transcriptomic analyses were conducted to investigate the following: (1) baseline gene expression differences associated with future development of IFN-α-induced depression, before IFN-α, and (2) longitudinal gene expression changes from baseline to weeks 4 or 24 of IFN-α treatment, separately in those who did and did not develop depression. Transcriptomics data were analyzed using Partek Genomics Suite (1.4-fold, FDR adjusted p⩽0.05) and Ingenuity Pathway Analysis Software. Twenty patients (34%) developed IFN-α-induced depression. At baseline, 73 genes were differentially expressed in patients who later developed depression compared with those who did not. After 4 weeks of IFN-α treatment, 592 genes were modulated in the whole sample, representing primarily IFN-α-responsive genes. Substantially more genes were modulated only in patients who developed depression (n=506, compared with n=70 in patients who did not), with enrichment in inflammation-, neuroplasticity- and oxidative stress-related pathways. A similar picture was observed at week 24. Our data indicate that patients who develop IFN-α-induced depression have an increased biological sensitivity to IFN-α, as shown by larger gene expression changes, and specific signatures both as predictors and as correlates.