Objective This study established a machine learning model based on the multidimensional data of resting-state functional activity of the brain and P11 gene DNA methylation to predict the early efficacy of antidepressant treatment in patients with major depressive disorder (MDD). Methods A total of 98 Han Chinese MDD were analysed in this study. Patients were divided into 51 responders and 47 nonresponders according to whether the Hamilton Depression Rating Scale-17 items (HAMD-17) reduction rate was ≥50% after 2 weeks of antidepressant treatment. At baseline, the Illumina HiSeq Platform was used to detect the methylation of 74 CpG sites of the P11 gene in peripheral blood samples. Resting-state functional magnetic resonance imaging (rs-fMRI) scan detected the amplitude of low-frequency fluctuations (ALFF), regional homogeneity (ReHo), and functional connectivity (FC) in 116 brain regions. The least absolute shrinkage and selection operator analysis method was used to perform feature reduction and feature selection. Four typical machine learning methods were used to establish support vector machine (SVM), random forest (RF), Naïve Bayes (NB), and logistic regression (LR) prediction models based on different combinations of functional activity of the brain, P11 gene DNA methylation and clinical/demographic features after screening. Results The SVM model based on ALFF, ReHo, FC, P11 methylation, and clinical/demographic features showed the best performance, with 95.92% predictive accuracy and 0.9967 area under the receiver operating characteristic curve, which was better than RF, NB, and LR models. Conclusion The multidimensional data features combining rs-fMRI, DNA methylation, and clinical/demographic features can predict the early antidepressant efficacy in MDD.