Improving prediction abilities in the therapy process can increase therapeutic success for a variety of reasons, such as more personalised treatment or resource optimisation. The increasingly applied methods of dynamic prediction seem to be very promising for this purpose. Prediction models are usually based on static approaches of frequentist statistics. However, the application of this statistical approach has been widely criticised in this research area. Bayesian statistics has been proposed in the literature as an alternative, especially for the task of dynamic modelling. In this study, we compare the performance of predicting therapy outcome over the course of therapy between both statistical approaches. Based on a sample of 341 patients, a logistic regression analysis was performed using both statistical approaches. Therapy success was conceptualised as reliable pre-post improvement in brief symptom inventory (BSI) scores. As predictors, we used the subscales of the Outcome Questionnaire (OQ-30) and the Helping Alliance Questionnaire (HAQ) measured every fifth session, as well as baseline BSI scores. The influence of the predictors during therapy differs between the frequentist and the Bayesian approach. In contrast, predictive validity is comparable with a mean area under the curve (AUC) of 0.76 in both model types. Bayesian statistic provides an innovative and useful alternative to the frequentist approach in predicting therapy outcome. The theoretical foundation is particularly well suited for dynamic prediction. Nevertheless, no differences in predictive validity were found in this study. More complex methodology as well as further research seems necessary to exploit the potential of Bayesian statistics in this area.