Self-efficacy is a pivotal factor in the etiology and prognosis of major depression. However, longitudinal studies on the relationship between self-efficacy and major depressive disorder (MDD) are scarce. The objectives were to investigate: (1) the associations between self-efficacy and the 1-year and 2-year risks of first onset of MDD and (2) the associations between self-efficacy and the 1-year and 2-year risks of the persistence/recurrence of MDD, in a sample of first-year university students.

We followed 8079 first-year university students for 2 years from April 2018 to October 2020. MDD was ascertained by the Chinese version of the Composite International Diagnostic Interview (CIDI-3.0) based on self-report. Self-efficacy was measured by the 10-item General Self-efficacy (GSE) scale. Random effect logistic regression modeling was used to estimate the associations.

Among participants without a lifetime MDD, the data showed that participants with high baseline GSE scores were associated with a higher risk of first onset of MDD over 2 years [odds ratio (OR) 1.04, 95% confidence interval (CI) 1.01–1.08]. Among those with a lifetime MDD, participants with high baseline GSE scores were less likely to have had a MDD over 2 years (OR 0.93, 95% CI 0.88–0.99) compared to others.

A high level of GSE may be protective of the risk of persistent or recurrent MDD. More longitudinal studies in university students are needed to further investigate the impact of GSE on the first onset of MDD.