Importance: Combining information on polygenic risk scores (PRSs) with other known risk factors could potentially improve the identification of risk of depression in the general population. However, to our knowledge, no study has estimated the association of PRS with the absolute risk of depression, and few have examined combinations of the PRS and other important risk factors, including parental history of psychiatric disorders and socioeconomic status (SES), in the identification of depression risk. Objective: To assess the individual and joint associations of PRS, parental history, and SES with relative and absolute risk of early-onset depression. Design, Setting, and Participants: This case-cohort study included participants from the iPSYCH2012 sample, a case-cohort sample of all singletons born in Denmark between May 1, 1981, and December 31, 2005. Hazard ratios (HRs) and absolute risks were estimated using Cox proportional hazards regression for case-cohort designs. Exposures: The PRS for depression; SES measured using maternal educational level, maternal marital status, and paternal employment; and parental history of psychiatric disorders (major depression, bipolar disorder, other mood or psychotic disorders, and other psychiatric diagnoses). Main Outcomes and Measures: Hospital-based diagnosis of depression from inpatient, outpatient, or emergency settings. Results: Participants included 17098 patients with depression (11748 [68.7%] female) and 18582 (9429 [50.7%] male) individuals randomly selected from the base population. The PRS, parental history, and lower SES were all significantly associated with increased risk of depression, with HRs ranging from 1.32 (95% CI, 1.29-1.35) per 1-SD increase in PRS to 2.23 (95% CI, 1.81-2.64) for maternal history of mood or psychotic disorders. Fully adjusted models had similar effect sizes, suggesting that these risk factors do not confound one another. Absolute risk of depression by the age of 30 years differed substantially, depending on an individual's combination of risk factors, ranging from 1.0% (95% CI, 0.1%-2.0%) among men with high SES in the bottom 2% of the PRS distribution to 23.7% (95% CI, 16.6%-30.2%) among women in the top 2% of PRS distribution with a parental history of psychiatric disorders. Conclusions and Relevance: This study suggests that current PRSs for depression are not more likely to be associated with major depressive disorder than are other known risk factors; however, they may be useful for the identification of risk in conjunction with other risk factors.