Cultural and ethnic differences in psychosocial and medical correlates of negative affect are well documented. This study aimed to compare blacks and whites for the predictive role of baseline neuroticism (N) on subsequent risk of major depressive episodes (MDD) 25 years later. Data came from the Americans’ Changing Lives (ACL) Study, 1986–2011. We used data on 1219 individuals (847 whites and 372 blacks) who had data on baseline N in 1986 and future MDD in 2011. The main predictor of interest was baseline N, measured using three items in 1986. The main outcome was 12 months MDD measured using the Composite International Diagnostic Interview (CIDI) at 2011. Covariates included baseline demographics (age and gender), socioeconomics (education and income), depressive symptoms [Center for Epidemiologic Studies Depression Scale (CES-D)], stress, health behaviors (smoking and driking), and physical health [chronic medical conditions, obesity, and self-rated health (SRH)] measured in 1986. Logistic regressions were used to test the predictive role of baseline N on subsequent risk of MDD 25 years later, net of covariates. The models were estimated in the pooled sample, as well as blacks and whites. In the pooled sample, baseline N predicted subsequent risk of MDD 25 years later (OR = 2.23, 95%CI = 1.14–4.34), net of covariates. We also found a marginally significant interaction between race and baseline N on subsequent risk of MDD (OR = 0.37, 95% CI = 0.12–1.12), suggesting a stronger effect for whites compared to blacks. In race-specific models, among whites (OR = 2.55; 95% CI = 1.22–5.32) but not blacks (OR = 0.90; 95% CI = 0.24–3.39), baseline N predicted subsequent risk of MDD. Black-white differences in socioeconomics and physical health could not explain the racial differences in the link between N and MDD. Blacks and whites differ in the salience of baseline N as a psychological determinant of MDD risk over a long period of time. This finding supports the cultural moderation hypothesis and is in line with other previously reported black–white differences in social, psychological, and medical correlates of negative affect and depression.