Major depressive disorder (MDD) is complex and multifactorial, posing a major challenge of tailoring the optimal medication for each patient. Current practice for MDD treatment mainly relies on trial and error, with an estimated 42-53% response rates for antidepressant use. Here, we sought to generate an accurate predictor of response to a panel of antidepressants and optimize treatment selection using a data-driven approach analyzing combinations of genetic, clinical, and demographic factors. We analyzed the response patterns of patients to three antidepressant medications in the Sequenced Treatment Alternatives to Relieve Depression (STAR*D) study, and employed state-of-the-art machine learning (ML) tools to generate a predictive algorithm. To validate our results, we assessed the algorithm's capacity to predict individualized antidepressant responses on a separate set of 530 patients in STAR*D, consisting of 271 patients in a validation set and 259 patients in the final test set. This assessment yielded an average balanced accuracy rate of 72.3% (SD 8.1) and 70.1% (SD 6.8) across the different medications in the validation and test set, respectively (p < 0.01 for all models). To further validate our design scheme, we obtained data from the Pharmacogenomic Research Network Antidepressant Medication Pharmacogenomic Study (PGRN-AMPS) of patients treated with citalopram, and applied the algorithm's citalopram model. This external validation yielded highly similar results for STAR*D and PGRN-AMPS test sets, with a balanced accuracy of 60.5% and 61.3%, respectively (both p's < 0.01). These findings support the feasibility of using ML algorithms applied to large datasets with genetic, clinical, and demographic features to improve accuracy in antidepressant prescription.