Leading biological hypotheses propose that biological changes may underlie major depressive disorder onset and relapse/recurrence. Here, we investigate if there is prospective evidence for biomarkers derived from leading theories. We focus on neuroimaging, gastrointestinal factors, immunology, neurotrophic factors, neurotransmitters, hormones, and oxidative stress. Searches were performed in Pubmed, Embase and PsychInfo for articles published up to 06/2019. References and citations of included articles were screened to identify additional articles. Inclusion criteria were having an MDD diagnosis as outcome, a biomarker as predictor, and prospective design search terms were formulated accordingly. PRISMA guidelines were applied. Meta-analyses were performed using a random effect model when three or more comparable studies were identified, using a random effect model. Our search resulted in 67,464 articles, of which 75 prospective articles were identified on: Neuroimaging (N = 24), Gastrointestinal factors (N = 1), Immunology (N = 8), Neurotrophic (N = 2), Neurotransmitters (N = 1), Hormones (N = 39), Oxidative stress (N = 1). Meta-analyses on brain volumes and immunology markers were not significant. Only cortisol (N = 19, OR = 1.294, p = 0.024) showed a predictive effect on onset/relapse/recurrence of MDD, but not on time until MDD onset/relapse/recurrence. However, this effect disappeared when studies including participants with a baseline clinical diagnosis were removed from the analyses. Other studies were too heterogeneous to compare. Thus, there is a lack of evidence for leading biological theories for onset and maintenance of depression. Only cortisol was identified as potential predictor for MDD, but results are influenced by the disease state. High-quality (prospective) studies on MDD are needed to disentangle the etiology and maintenance of MDD.