Depression is a prevailing issue and is an increasing problem in many people’s lives. Without observable diagnostic criteria, the signs of depression may go unnoticed, resulting in high demand for detecting depression in advance automatically. This paper tackles the challenging problem of forecasting severely depressed moods based on self-reported histories. Despite the large amount of research on understanding individual moods including depression, anxiety, and stress based on behavioral logs collected by pervasive computing devices such as smartphones, forecasting depressed moods is still an open question. This paper develops a recurrent neural network algorithm that incorporates categorical embedding layers for forecasting depression. We collected large-scale records from 2,382 self-declared depressed people to conduct the experiment. Experimental results show that our method forecast the severely depressed mood of a user based on self-reported histories, with higher accuracy than SVM. The results also showed that the long-term historical information of a user improves the accuracy of forecasting depressed mood.