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Incident depression has been reported to be associated with poor prognosis in patients with cardiovascular disease (CVD), which might be associated with beta-blocker therapy. Because early detection and intervention can alleviate the severity of depression, we aimed to develop a machine learning (ML) model predicting the onset of major depressive disorder (MDD). A model based on L1 regularized logistic regression was trained against the South Korean nationwide administrative claims database to identify risk factors for the incident MDD after beta-blocker therapy in patients with CVD. We identified 50,397 patients initiating beta-blockers for CVD, with 774 patients developing MDD within 365 days after initiating beta-blocker therapy. An area under the receiver operating characteristic curve (AUC) of 0.74 was achieved. A history of non-selective beta-blockers and factors related to anxiety disorder, sleeping problems, and other chronic diseases were the most strong predictors. AUCs of 0.62–0.71 were achieved in the external validation conducted on six independent electronic health records and claims databases in the USA and South Korea. In conclusion, an ML model that identifies patients at high-risk for incident MDD was developed. Application of ML to identify susceptible patients for adverse events of treatment may serve as an important approach for personalized medicine. [ABSTRACT FROM AUTHOR]