This study aimed to identify clinical and cognitive factors associated with increased risk for difficult-to-treat depression (DTD) or treatment-resistant depression (TRD). A total of 229 adult outpatients with major depression were recruited from the mental health unit at a public hospital. Participants were subdivided into resistant and nonresistant groups according to their Maudsley Staging Model score. Sociodemographic, clinical, and cognitive (objective and subjective measures) variables were compared between groups, and a logistic regression model was used to identify the factors most associated with TRD risk. TRD group patients present higher verbal memory impairment than the nonresistant group irrespective of pharmacological treatment or depressive symptom severity. Logistic regression analysis showed that low verbal memory scores (odds ratio [OR]: 2.02; 95% confidence interval [CI]: 1.38-2.95) together with high depressive symptom severity (OR: 1.29; CI95%: 1.01-1.65) were associated with TRD risk. Our findings align with neuroprogression models of depression, in which more severe patients, defined by greater verbal memory impairment and depressive symptoms, develop a more resistant profile as a result of increasingly detrimental neuronal changes. Moreover, our results support a more comprehensive approach in the evaluation and treatment of DTD in order to improve illness course. Longitudinal studies are warranted to confirm the predictive value of verbal memory and depression severity in the development of TRD.