Major depressive disorder (MDD) is a common mental disorder that can cause substantial impairments in quality of life. Clinical treatment is usually built on trial and error method, which lasts about 12 weeks to evaluate whether the treatment is efficient or not, leading some inefficient treatment measures. We therefore identify early candidate urine biomarkers to predict efficient treatment response in MDD patients. In this study, urine samples were collected twice from 19 respondent and 10 non-respondent to escitalopram MDD patients with 0-, 2-, and 12-week treatment. Differential urinary proteins were then analyzed by liquid chromatography coupled with tandem mass spectrometry (LC-MS/MS). Our two pilots suggested that urine proteome reflects changes associated with major depressive disorder at the early stage of treatment measures. On week 2, there were 20 differential proteins identified in response group when compared with week 0, 14 among which have been associated with the mechanisms of MDD. While in non-response group, there were 60 differential proteins identified on week 2, and 28 among which have been associated with the mechanisms of MDD. In addition, differential urinary proteins on week 2 between respondent and non-response group can be distinguished clearly by using Orthogonal Partial Least Squares Discrimination Analysis (OPLS-DA). Our small pilot results indicated that the urine proteome can reflect early changes between respondent and non-respondent group to escitalopram therapy since on week 2, which will provide potential early candidate urine biomarkers to predict efficient treatment measures in MDD patients.