BACKGROUND: Major depressive disorder (MDD) is a highly prevalent mental health condition with significant public health implications. Early detection is crucial for timely intervention, but current diagnostic methods often rely on subjective clinical assessments, leading to delayed or inaccurate diagnoses. Advances in neuroimaging and machine learning (ML) offer the potential for objective and accurate early detection. OBJECTIVE: This study aimed to develop and validate ML models using multisite functional magnetic resonance imaging data for the early detection of MDD, compare their performance, and evaluate their clinical applicability. METHODS: We used functional magnetic resonance imaging data from 1200 participants (600 with early-stage MDD and 600 healthy controls) across 3 public datasets. In total, 4 ML models-support vector machine, random forest, gradient boosting machine, and deep neural network-were trained and evaluated using a 5-fold cross-validation framework. Models were assessed for accuracy, sensitivity, specificity, F1-score, and area under the receiver operating characteristic curve. Shapley additive explanations values and activation maximization techniques were applied to interpret model predictions. RESULTS: The deep neural network model demonstrated superior performance with an accuracy of 89% (95% CI 86%-92%) and an area under the receiver operating characteristic curve of 0.95 (95% CI 0.93-0.97), outperforming traditional diagnostic methods by 15% (P<.001). Key predictive features included altered functional connectivity between the dorsolateral prefrontal cortex, anterior cingulate cortex, and limbic regions. The model achieved 78% sensitivity (95% CI 71%-85%) in identifying individuals who developed MDD within a 2-year follow-up period, demonstrating good generalizability across datasets. CONCLUSIONS: Our findings highlight the potential of artificial intelligence-driven approaches for the early detection of MDD, with implications for improving early intervention strategies. While promising, these tools should complement rather than replace clinical expertise, with careful consideration of ethical implications such as patient privacy and model biases.