Personal sensing, leveraging data passively and near-continuously collected with wearables from patients in their ecological environment, is a promising paradigm to monitor mood disorders (MDs), a major determinant of the worldwide disease burden. However, collecting and annotating wearable data is resource intensive. Studies of this kind can thus typically afford to recruit only a few dozen patients. This constitutes one of the major obstacles to applying modern supervised machine learning techniques to MD detection. In this paper, we overcame this data bottleneck and advanced the detection of acute MD episodes from wearables' data on the back of recent advances in self-supervised learning (SSL). This approach leverages unlabeled data to learn representations during pretraining, subsequently exploited for a supervised task. We collected open access data sets recording with the Empatica E4 wristband spanning different, unrelated to MD monitoring, personal sensing tasks-from emotion recognition in Super Mario players to stress detection in undergraduates-and devised a preprocessing pipeline performing on-/off-body detection, sleep/wake detection, segmentation, and (optionally) feature extraction. With 161 E4-recorded subjects, we introduced E4SelfLearning, the largest-to-date open access collection, and its preprocessing pipeline. We developed a novel E4-tailored transformer (E4mer) architecture, serving as the blueprint for both SSL and fully supervised learning; we assessed whether and under which conditions self-supervised pretraining led to an improvement over fully supervised baselines (ie, the fully supervised E4mer and pre-deep learning algorithms) in detecting acute MD episodes from recording segments taken in 64 (n=32, 50%, acute, n=32, 50%, stable) patients. SSL significantly outperformed fully supervised pipelines using either our novel E4mer or extreme gradient boosting (XGBoost): n=3353 (81.23%) against n=3110 (75.35%; E4mer) and n=2973 (72.02%; XGBoost) correctly classified recording segments from a total of 4128 segments. SSL performance was strongly associated with the specific surrogate task used for pretraining, as well as with unlabeled data availability. We showed that SSL, a paradigm where a model is pretrained on unlabeled data with no need for human annotations before deployment on the supervised target task of interest, helps overcome the annotation bottleneck; the choice of the pretraining surrogate task and the size of unlabeled data for pretraining are key determinants of SSL success. We introduced E4mer, which can be used for SSL, and shared the E4SelfLearning collection, along with its preprocessing pipeline, which can foster and expedite future research into SSL for personal sensing.