Objectives To investigate the predictive validity of 32 measures of the Danish Psychosocial Work Environment Questionnaire (DPQ) against two criteria variables: onset of depressive disorders and long-term sickness absence (LTSA). Methods The DPQ was sent to 8958 employed individuals in 14 job groups of which 4340 responded (response rate: 48.4%). Depressive disorders were measured by self-report with a 6-month follow-up. LTSA was measured with a 1-year follow-up in a national register. We analyzed onset of depressive disorders at follow-up using logistic regression models, adjusted for age, sex, and job group, while excluding respondents with depressive disorders at baseline. We analyzed onset of LTSA with Cox regression models, adjusted for age, sex, and job group, while excluding respondents with previous LTSA. Results The general pattern of the results followed our hypotheses as high job demands, poorly organized working conditions, poor relations to colleagues and superiors, and negative reactions to the work situation predicted onset of depressive disorders at follow-up and onset of LTSA during follow-up. Analyzing onset of depressive disorders and onset of LTSA, we found risk estimates that deviated from unity in most of the investigated associations. Overall, we found higher risk estimates when analyzing onset of depressive disorders compared with onset of LTSA. Conclusions The analyses provide support for the predictive validity of most DPQ-measures. Results suggest that the DPQ constitutes a useful tool for identifying risk factors for depression and LTSA in the psychosocial work environment.