The mechanisms and temporal sequence underlying the association between major depressive disorder (MDD) and cardiometabolic diseases are still poorly understood. Recent research suggests subtyping depression to study the mechanisms underlying its association with biological correlates. Accordingly, our aims were to (1) assess the prospective associations of the atypical, melancholic and unspecified subtypes of MDD with changes of fasting glucose, high-density lipoprotein-cholesterol, triglycerides, systolic blood pressure and the incidence of the metabolic syndrome, (2) determine the potential mediating role of inflammatory marker or adipokine concentrations, eating behaviors and changes in waist circumference during follow-up. Data stemmed from CoLaus|PsyCoLaus, a prospective cohort study including 35–66-year-old randomly selected residents of an urban area. Among the Caucasian participants who underwent the physical and psychiatric baseline evaluations, 2813 (87% participation rate) also accepted the physical follow-up exam (mean follow-up duration = 5.5 years). Symptoms of mental disorders were elicited using a semi-structured interview. The atypical MDD subtype, and only this subtype, was prospectively associated with a higher incidence of the metabolic syndrome (OR = 2.49; 95% CI 1.30–4.77), a steeper increase of waist circumference (β = 2.41; 95% CI 1.19–3.63) and independently of this, with a steeper increase of the fasting glucose level (β = 131; 95% CI 38–225) during follow-up. These associations were not attributable to or mediated by inflammatory marker or adipokine concentrations, eating behaviors, comorbid psychiatric disorders or lifestyle factors. Accordingly, our results further support the subtyping of MDD and highlight the particular need for prevention and treatment of metabolic consequences in patients with atypical MDD.