The aim of this naturalistic study was to investigate the possible influence of the duration of untreated illness (DUI) on the long-term course of Major Depressive Disorder (MDD). One hundred and thirteen patients with recurrent MDD, according to DSM-IV-TR criteria, followed up for 5 years, were selected, interviewed and their clinical charts were reviewed. The DUI was defined as the interval between the onset of the first depressive episode and the first adequate antidepressant treatment. The sample was divided into two groups according to the DUI: one group with a DUI ≤ 12 months (n = 75), and the other with a DUI > 12 months (n = 38). The main demographic and clinical course variables were compared between the two groups using Student's t-tests or chi-square tests. Patients with a longer DUI showed an earlier age at onset (t = 2.82, p = 0.006) and a longer duration of illness (t = 3.20, p = 0.002) compared to patients with a shorter DUI. In addition, the total number of depressive episodes occurring before the first antidepressant treatment was higher in the group with a longer DUI (t = −2.223, p < 0.03). Even though limited by the retrospective nature of the study, these preliminary findings would suggest that a longer DUI may negatively influence the course of MDD. Larger prospective studies are warranted to further investigate the role of the DUI within MDD.