Background: Depressive episodes show large interindividual differences concerning their speed of onset and speed of recovery, which might suggest differences in underlying pathophysiological processes. The aim of the present study was to assess whether there is a relationship between the speed of onset and the speed of recovery from depressive episodes. Methods: The speed of onset and the speed of recovery from depression were assessed using a structured patient interview, the Onset of Depression Inventory (ODI). In total, 28 patients with bipolar depression and 91 patients with unipolar depression were included. Results: The mean speed of onset of depression was significantly faster than the mean speed of recovery from depression (35.25, range 0-360 days vs. 59.60, range 0.13-720 days; Z = -3.40; p = 0.001). The correlation between these variables was positive, but numerically low (ρ = 0.22; p = 0.016). The speed of onset of the previous episode and that of the present episode were significantly correlated (ρ = 0.45; p < 0.001). Limitations: Data are based on retrospective patient reports within a naturalistic study. Conclusions: While the speed of onset of depressive episodes has been found to show large interindividual variability and some intraindividual stability, the data of this study do not indicate that the neurobiological processes involved in the onset of and in the recovery from depressive episodes are closely linked.