Background: In clinical practice, there is the need to have clinical and biological markers to identify induced depression. The objective was to investigate clinical, biological and genetic differences between Primary Major Depression (Primary MD) and Alcohol Induced MD (AI-MD). Methods: Patients, of both genders, were recruited from psychiatric hospitalisation units. The PRISM instrument was used to establish the diagnoses. Data on socio-demographic/family history, clinical scales for depression, anxiety, personality and stressful life events were recorded. A blood test was performed analysing biochemical parameters and a Genome Wide Association Study (GWAS) to identify genetic markers associated with AI-MD. Results: A total of 80 patients were included (47 Primary MD and 33 AI-MD). The AI-MD group presented more medical comorbidities and less family history of depression. There were differences in traumatic life events, with higher scores in the AI-MD (14.21 ± 11.35 vs. 9.30 ± 7.38; p = 0.021). DSM-5 criteria were different between groups with higher prevalence of weight changes and less anhedonia, difficulties in concentration and suicidal thoughts in the AI-MD. None of the genetic variants reached significance beyond multiple testing thresholds; however, some suggestive variants were observed. Conclusions: This study has found clinical and biological features that may help physicians to identify AI-MD and improve its therapeutic approach.