Abstract It is not clear whether the severity of depressive episodes changes during the course of depressive disorder. Aims To investigate whether the severity of depressive episodes increases during the course of illness. Method Using a Danish nationwide case register, all psychiatric in-patients and out-patients with a main ICD -- 10 diagnosis of a single mild, moderate or severe depressive episode at the end of first contact were identified. Patients included in the study were from the period 1994 -- 2003. Results A total of 19 392 patients received a diagnosis of a single depressive episode at first contact. The prevalence of severe depressive episodes increased from 25.5% at the first episode to 50.0% at the 15th episode and the prevalence of psychotic episodes increased from 8.7% at the first episode to 25.0% at the 15th episode. The same pattern was found regardless of gender, age at first contact and calendar year. Conclusions The increasing severity of depressive episodes emphasises the importance of early and sustained prophylactic treatment. In depressive disorder, on average, the risk of recurrence increases with every new episode 1 -- 7 and without active treatment the duration of successive episodes seems to increase, 8 -- 10 whereas with treatment the lengths of episodes seems constant or to decrease. 11 -- 14 Further, it is a widely held clinical belief that the severity of depressive episodes also increases during the course of illness. However, few studies have investigated the severity of successive episodes during the course of