BACKGROUND: Clinical trials have traditionally been analysed at the aggregate level, assuming that the group average would be applicable to all eligible and similar patients. We re-analyzed a mega-trial of antidepressant therapy for major depression to explore whether a multivariable prediction model may lead to different treatment recommendations for individual participants. METHODS: The trial compared the second-line treatment strategies of continuing sertraline, combining it with mirtazapine or switching to mirtazapine after initial failure to remit on sertraline among 1,544 patients with major depression. The outcome was the Personal Health Questionnaire-9 (PHQ-9) at week 9: the original analyses showed that both combining and switching resulted in greater reduction in PHQ-9 by 1.0 point than continuing. We considered several models of penalized regression or machine learning. RESULTS: Models using support vector machines (SVMs) provided the best performance. Using SVMs, continuing sertraline was predicted to be the best treatment for 123 patients, combining for 696 patients, and switching for 725 patients. In the last two subgroups, both combining and switching were equally superior to continuing by 1.2 to 1.4 points, resulting in the same treatment recommendations as with the original aggregate data level analyses; in the first subgroup, however, switching was substantively inferior to combining (-3.1, 95%CI: -5.4 to -0.5). LIMITATIONS: Stronger predictors are needed to make more precise predictions. CONCLUSIONS: The multivariable prediction models led to improved recommendations for a minority of participants than the group average approach in a megatrial.