Former prospective studies showed that the occurrence of relapse in Major Depressive Disorder (MDD) is associated with volume loss in the insula, hippocampus and dorsolateral prefrontal cortex (DLPFC). However, these studies were confounded by the patient’s lifetime disease history, as the number of previous episodes predict future recurrence. In order to analyze neural correlates of recurrence irrespective of prior disease course, this study prospectively examined changes in brain structure in patients with first-episode depression (FED) over 2 years. N = 63 FED patients and n = 63 healthy controls (HC) underwent structural magnetic resonance imaging at baseline and after 2 years. According to their disease course during the follow-up interval, patients were grouped into n = 21 FED patients with recurrence (FEDrec) during follow-up and n = 42 FED patients with stable remission (FEDrem). Gray matter volume changes were analysed using group by time interaction analyses of covariance for the DLPFC, hippocampus and insula. Significant group by time interactions in the DLPFC and insula emerged. Pairwise comparisons showed that FEDrec had greater volume decline in the DLPFC and insula from baseline to follow-up compared with FEDrem and HC. No group by time interactions in the hippocampus were found. Cross-sectional analyses at baseline and follow-up revealed no differences between groups. This longitudinal study provides evidence for neural alterations in the DLPFC and insula related to a detrimental course in MDD. These effects of recurrence are already detectable at initial stages of MDD and seem to occur without any prior disease history, emphasizing the importance of early interventions preventing depressive recurrence.