Neuroimaging research has yet to elucidate whether reported gray matter volume (GMV) alterations in major depressive disorder (MDD) exist already before the onset of the first episode. Recruitment of presently healthy individuals with a subsequent transition to MDD (converters) is extremely challenging but crucial to gain insights into neurobiological vulnerability. Hence, we compared converters to patients with MDD and sustained healthy controls (HC) to distinguish pre-existing neurobiological markers from those emerging later in the course of depression. Combining two clinical cohorts (n = 1709), voxel-based morphometry was utilized to analyze GMV of n = 45 converters, n = 748 patients with MDD, and n = 916 HC in a region-of-interest approach and exploratory whole-brain. By contrasting the subgroups and considering both remission state and reported recurrence at a 2-year clinical follow-up, we stepwise disentangled effects of (1) vulnerability, (2) the acute depressive state, and (3) an initial vs. a recurrent episode. Analyses revealed higher amygdala GMV in converters relative to HC (p