Even though safe and effective treatments for depression are available, many individuals with a diagnosis of depression do not obtain treatment. This study aimed to develop a tool to identify persons who might not initiate treatment among those who acknowledge a need. Data were aggregated from the 2008–2014 U.S. National Survey on Drug Use and Health (N=391,753), including 20,785 adults given a diagnosis of depression by a health care provider in the 12 months before the survey. Machine learning was applied to self-report survey items to develop strategies for identifying individuals who might not get needed treatment. A derivation cohort aggregated between 2008 and 2013 was used to develop a model that identified the 30.6% of individuals with depression who reported needing but not getting treatment. When applied to independent responses from the 2014 cohort, the model identified 72% of those who did not initiate treatment (p<.01), with a balanced accuracy that was also significantly above chance (71%, p<.01). For individuals who did not get treatment, the model predicted 10 (out of 15) reasons that they endorsed as barriers to treatment, with balanced accuracies between 53% and 65% (p<.05 for all). Considerable work is needed to improve follow-up and retention rates after the critical initial meeting in which a patient is given a diagnosis of depression. Routinely collected information about patients with depression could identify those at risk of not obtaining needed treatment, which may inform the development and implementation of interventions to reduce the prevalence of untreated depression.