Alterations in membrane lipids are reported in schizophrenia. However, no conclusion can be drawn regarding the extended and predictive value of these alterations in persons at ultra-high risk of psychosis (UHR). Recent studies suggested that sterols’ impact on psychiatric disorders was underestimated. Here, we simultaneously explored sterols, fatty acids (FA), and phospholipids (PL) in UHR persons for the first time. We analysed erythrocyte membrane lipids in 61 UHR persons, including 29 who later converted to psychosis (UHR-C) and 32 who did not (UHC-NC). We used gas chromatography for FA and liquid chromatography tandem with mass spectrometry for sterols and phospholipids. Among UHR individuals, elevated baseline membrane linoleic acid level was associated with conversion to psychosis (26.1% vs. 60.5%, p = 0.02). Combining sterols, FA, and PL membrane composition improved the prediction of psychosis onset (AUC = 0.73). This is the first report showing that membrane sterol participates, with other membrane lipids, in modulating the risk of psychosis. It suggests that membrane lipids could be used as biomarkers for personalised medicine in UHR patients.