This article focuses on personal and psychosocial factors to identify those that predict change in functioning and well-being and clinical course of depression in depressed outpatients over time. Data from 604 depressed patients in The Medical Outcomes Study showed improvements in measures of functioning and well-being associated with patients who were employed, drank less alcohol, and had active coping styles. Better clinical course of depression was associated with patients who had high levels of social support, who had more active and less avoidant coping styles, who were physically active, and who had fewer comorbid chronic conditions. Findings provide some guidance as to what can be done to improve depressed patients' levels of physical and mental health and affect the clinical course of depression.