Objectives : The objective was to explore the associations between psychosocial work factors and first depressive episode. Additional objectives included the study of the frequency and duration of exposure, and the evaluation of the induction period between exposures and outcome and of the reversibility of the effects. Methods : The study was based on a sample of 13,648 men and women from the 2006 national representative French SIP survey. Retrospective evaluation was performed for depressive episode for the whole life history, for psychological demands, skill discretion, social support, tension with the public, reward and work–life imbalance for each job, and within each job before and after each major change, and for time-varying covariates. The outcome was the first depressive episode. Statistical analysis was performed using weighted discrete time logistic regression model. Results : High psychological demands and low social support were risk factors for first depressive episode for both genders. The risk increased with the frequency of exposure to these factors. Associations were found with the frequency of exposure to tension with the public among women and to work–life imbalance among men. The risk increased with the duration of exposure to psychological demands and low social support for both genders, however, these associations become non-significant when recent exposure was taken into account. Past exposure older than 2 years was not associated with the outcome. Conclusion : Associations between psychosocial work factors and first depressive episode were observed, including dose–response associations. However, after removal of the exposure, the risk may be reduced after 2 years.