Pain complaints and depressive symptoms seem to be risk factors for future depressive episodes. We present a one-year follow-up study on Portuguese women and primary health care (initial sample: n = 503). We used the Center for Epidemiologic Studies Depression Scale (CES-D), a short questionnaire on pain, and clinical interviews. We used forward stepwise logistic regression analysis to define models that enable the prediction of developing a major depressive episode in the one-year follow-up. We concluded that nondepressed women with (a) high scores (≥28) at the CES-D, (b) a high severity of pain index, and (c) fatigue complaints at the baseline were particularly at risk.