To investigate the relation between work environmental factors and the risk of major depressive disorder (MDD) over 1 year, the authors conducted a population-based longitudinal study of randomly selected employees in Alberta, Canada (January 2008 to November 2011). Participants without a current or lifetime diagnosis of MDD at baseline (n = 2,752) were followed for 1 year. MDD was assessed using the World Health Organization’s Composite International Diagnostic Interview-Auto 2.1. The overall 1-year incidence of MDD was 3.6% (95% confidence interval: 2.8, 4.6); it was 2.9% (95% confidence interval: 1.9, 4.2) in men and 4.5% (95% confidence interval: 3.3, 6.2) in women. The relations between work environmental factors and MDD differed by sex. In men, high job strain increased the risk of MDD in those who worked 35–40 hours per week; job insecurity and family-to-work conflict were predictive of MDD. Women who worked 35–40 hours per week and reported job insecurity, a high effort-reward imbalance, and work-to-family conflict were at a higher risk of developing MDD. Job strain, effort-reward imbalance, job insecurity, and work-to-family conflicts are important risk factors for the onset of MDD and should be targets of primary prevention. However, these work environmental factors appear to operate differently in men and in women.