Planning subsequent treatment strategies based on early responses rather than waiting for delayed antidepressant action can be helpful. We identified genetic markers for later non-remission in patients exhibiting poor early improvement using whole-exome sequencing data of depressive patients treated in a naturalistic manner. Among 1000 patients, early improvement at 2 weeks (reduction in Hamilton Depression Rating Scale [HAM-D] score ≥ 20%) and remission at 12 weeks (HAM-D score ≤ 7) were evaluated. Gene- and variant-level analyses were conducted to compare patients who did not exhibit early improvement and did not eventually achieve remission (n = 126) with those who exhibited early improvement and achieved remission (n = 385). Genes predicting final non-remission in patients who exhibited poor early improvement (COMT, PRNP, BRPF3, SLC25A40, and CGREF1 in males; PPFIBPI, LZTS3, MEPCE, MAP1A, and PFAS in females; ST3GAL5 in the total population) were determined. Among the significant genes, variants in the PRNP (rs1800014), COMT (rs6267), BRPF3 (rs200565609), and SLC25A40 genes (rs3213633) were identified. However, interpretations should be made cautiously, as complex pharmacotherapy involves various genes and pathways. Early detection of poor early improvement and final non-remission based on genetic risk would be helpful for decision-making in a clinical setting.