Using MRI to diagnose mental disorders has been a long-term goal. Despite this, the vast majority of prior neuroimaging work has been descriptive rather than predictive. The current study applies support vector machine (SVM) learning to MRI measures of brain white matter to classify adults with Major Depressive Disorder (MDD) and healthy controls. In a precisely matched group of individuals with MDD (n = 25) and healthy controls (n = 25), SVM learning accurately (74%) classified patients and controls across a brain map of white matter fractional anisotropy values (FA). The study revealed three main findings: 1) SVM applied to DTI derived FA maps can accurately classify MDD vs. healthy controls; 2) prediction is strongest when only right hemisphere white matter is examined; and 3) removing FA values from a region identified by univariate contrast as significantly different between MDD and healthy controls does not change the SVM accuracy. These results indicate that SVM learning applied to neuroimaging data can classify the presence versus absence of MDD and that predictive information is distributed across brain networks rather than being highly localized. Finally, MDD group differences revealed through typical univariate contrasts do not necessarily reveal patterns that provide accurate predictive information.