We examine structural brain characteristics across three diagnostic categories: at risk for serious mental illness; first-presenting episode and recurrent major depressive disorder (MDD). We investigate whether the three diagnostic groups display a stepwise pattern of brain changes in the cortico-limbic regions. Integrated clinical and neuroimaging data from three large Canadian studies were pooled (total n = 622 participants, aged 12-66 years). Four clinical profiles were used in the classification of a clinical staging model: healthy comparison individuals with no history of depression (HC, n = 240), individuals at high risk for serious mental illness due to the presence of subclinical symptoms (SC, n = 80), first-episode depression (FD, n = 82), and participants with recurrent MDD in a current major depressive episode (RD, n = 220). Whole-brain volumetric measurements were extracted with FreeSurfer 7.1 and examined using three different types of analyses. Hippocampal volume decrease and cortico-limbic thinning were the most informative features for the RD vs HC comparisons. FD vs HC revealed that FD participants were characterized by a focal decrease in cortical thickness and global enlargement in amygdala volumes. Greater total amygdala volumes were significantly associated with earlier onset of illness in the FD but not the RD group. We did not confirm the construct validity of a tested clinical staging model, as a differential pattern of brain alterations was identified across the three diagnostic groups that did not parallel a stepwise clinical staging approach. The pathological processes during early stages of the illness may fundamentally differ from those that occur at later stages with clinical progression.