Major depression is a complex psychiatric disorder that includes genetic, neurological, and cognitive factors. Early detection and intervention can prevent progression, and help select the best treatment. Traditional clinical diagnosis tends to be subjective and misdiagnosed. Based on this, this study leverages clinical scale assessments and sequencing data to construct disease prediction models. Firstly, data undergoes preprocessing involving normalization and other requisite procedures. Feature engineering is then applied to curate subsets of features, culminating in the construction of a model through the implementation of machine learning and deep learning algorithms. In this study, 18 features with significant differences between patients and healthy controls were selected. The depression recognition model was constructed by deep learning with an accuracy of 87.26 % and an AUC of 91.56 %, which can effectively distinguish patients with depression from healthy controls. In addition, 33 features selected by recursive feature elimination method were used to construct a prognostic effect model of patients after 2 weeks of treatment, with an accuracy of 75.94 % and an AUC of 83.33 %. The results show that the deep learning algorithm based on clinical and sequencing data has good accuracy and provides an objective and accurate method for the diagnosis and pharmacodynamic prediction of depression. Furthermore, the selected differential features can serve as candidate biomarkers to provide valuable clues for diagnosis and efficacy prediction.