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The aims of this study were to examine the prevalence and pattern of lifetime Diagnostic and Structural Manual of Mental Disorders (fourth version) major depressive episodes, and the relationship between patient characteristics and current severity of depressive symptoms in first episode psychosis patients (FEPP). A total of 122 FEPP from the ongoing longitudinal thematically organized psychosis research study were included at first treatment. A total of 58 patients (48%) had experienced one or more major depressive episodes; 21 (17%) before onset of psychosis and 37 (30%) during or after onset of psychosis. Poor premorbid childhood adjustment, substance abuse, and excitative symptoms at start of treatment were statistically significant associated with higher current severity of depressive symptoms. Alcohol use was significantly associated with current severity of depression in men, while excitative symptoms were associated in women. Thus depressive symptoms are frequent among FEPP, with indications of gender specific differences in patient characteristics that might imply different approaches to treatment.