Major depressive disorder (MDD) is complex and multifactorial, posing a major challenge of tailoring the optimal medication for each patient. Current practice for MDD treatment mainly relies on trial and error, with an estimated 42-53% response rates for antidepressant use. Here, we sought to generate an accurate predictor of response to a panel of antidepressants and optimize treatment selection using a data-driven approach analyzing combinations of genetic, clinical, and demographic factors. We analyzed the response patterns of patients to three antidepressant medications in the Sequenced Treatment Alternatives to Relieve Depression (STARD) study, and employed state-of-the-art machine learning (ML) tools to generate a predictive algorithm. To validate our results, we assessed the algorithm's capacity to predict individualized antidepressant responses on a separate set of 530 patients in STARD, consisting of 271 patients in a validation set and 259 patients in the final test set. This assessment yielded an average balanced accuracy rate of 72.3% (SD 8.1) and 70.1% (SD 6.8) across the different medications in the validation and test set, respectively (p < 0.01 for all models). To further validate our design scheme, we obtained data from the Pharmacogenomic Research Network Antidepressant Medication Pharmacogenomic Study (PGRN-AMPS) of patients treated with citalopram, and applied the algorithm's citalopram model. This external validation yielded highly similar results for STAR*D and PGRN-AMPS test sets, with a balanced accuracy of 60.5% and 61.3%, respectively (both p's < 0.01). These findings support the feasibility of using ML algorithms applied to large datasets with genetic, clinical, and demographic features to improve accuracy in antidepressant prescription.