Background: In 2017, an estimated 17.3 million adults in the United States experienced at least one major depressive episode, with 35% of them not receiving any treatment. Underdiagnosis of depression has been attributed to many reasons, including stigma surrounding mental health, limited access to medical care, and barriers due to cost.|Objective: This study aimed to determine if low-burden personal health solutions, leveraging person-generated health data (PGHD), could represent a possible way to increase engagement and improve outcomes.|Methods: Here, we present the development of PSYCHE-D (Prediction of Severity Change-Depression), a predictive model developed using PGHD from more than 4000 individuals, which forecasts the long-term increase in depression severity. PSYCHE-D uses a 2-phase approach. The first phase supplements self-reports with intermediate generated labels, and the second phase predicts changing status over a 3-month period, up to 2 months in advance. The 2 phases are implemented as a single pipeline in order to eliminate data leakage and ensure results are generalizable.|Results: PSYCHE-D is composed of 2 Light Gradient Boosting Machine (LightGBM) algorithm-based classifiers that use a range of PGHD input features, including objective activity and sleep, self-reported changes in lifestyle and medication, and generated intermediate observations of depression status. The approach generalizes to previously unseen participants to detect an increase in depression severity over a 3-month interval, with a sensitivity of 55.4% and a specificity of 65.3%, nearly tripling sensitivity while maintaining specificity when compared with a random model.|Conclusions: These results demonstrate that low-burden PGHD can be the basis of accurate and timely warnings that an individual's mental health may be deteriorating. We hope this work will serve as a basis for improved engagement and treatment of individuals experiencing depression.