Prevention of major depressive disorder (MDD) is a public health priority. Identifying biomarkers of underlying biological processes that contribute to MDD onset may help address this public health need. This prospective cohort study encompassed 383,131 white British participants from the UK Biobank with no prior history of MDD, with replication in 50,759 participants of other ancestries. Leveraging linked inpatient and primary care records, we computed adjusted odds ratios for 5-year MDD incidence among individuals with values below or above the 95% confidence interval (<2.5th or >97.5th percentile) on each of 57 laboratory measures. Sensitivity analyses were performed across multiple percentile thresholds and in comparison to established reference ranges. We found that indicators of liver dysfunction were associated with increased 5-year MDD incidence (even after correction for alcohol use and body mass index): elevated alanine aminotransferase (AOR = 1.35, 95% confidence interval [1.16, 1.58]), aspartate aminotransferase (AOR = 1.39 [1.19, 1.62]), and gamma glutamyltransferase (AOR = 1.52 [1.31, 1.76]) as well as low albumin (AOR = 1.28 [1.09, 1.50]). Similar observations were made with respect to endocrine dysregulation, specifically low insulin-like growth factor 1 (AOR = 1.34 [1.16, 1.55]), low testosterone among males (AOR = 1.60 [1.27, 2.00]), and elevated glycated hemoglobin (HbA1C; AOR = 1.23 [1.05, 1.43]). Markers of renal impairment (i.e. elevated cystatin C, phosphate, and urea) and indicators of anemia and macrocytosis (i.e. red blood cell enlargement) were also associated with MDD incidence. While some immune markers, like elevated white blood cell and neutrophil count, were associated with MDD (AOR = 1.23 [1.07, 1.42]), others, like elevated C-reactive protein, were not (AOR = 1.04 [0.89, 1.22]). The 30 significant associations validated as a group in the multi-ancestry replication cohort (Wilcoxon p = 0.0005), with a median AOR of 1.235. Importantly, all 30 significant associations with extreme laboratory test results were directionally consistent with an increased MDD risk. In sum, markers of liver and kidney dysfunction, growth hormone and testosterone deficiency, innate immunity, anemia, macrocytosis, and insulin resistance were associated with MDD incidence in a large community-based cohort. Our results support a contributory role of diverse biological processes to MDD onset.