A bidirectional longitudinal association found between MDD and all PTSD clusters. Hyper-arousal was the PTSD cluster most strongly associated with MDD across time. Different PTSD clusters were dominant in predicting MDD at different time points. Female gender was a risk factor for MDD and all 3 PTSD symptom clusters across time. Men and women differed in the temporal pattern of MDD-PTSD comorbidity across time.