Objective: Symptoms of Major Depressive Disorder (MDD) are reported to change early in treatment with repetitive transcranial magnetic stimulation (rTMS). We evaluated early changes in sleep, anxiety, and mood as predictors of non-response to rTMS treatment. Methods: 329 subjects with non-psychotic MDD completed a six-week course of rTMS treatment. Depressive symptoms were assessed at pre-treatment baseline and weekly during treatment. Subjects were stratified by the severity of their baseline depression and had their sleep, anxiety, and mood symptoms recorded every week of treatment. We assessed lack of early improvement in each of these domains as potential predictors of eventual non-response, defined as <50% improvement in compositive depressive symptoms after six weeks. Results: Subjects with severe or very severe baseline depression achieving <20% improvement in mood at one week were correctly predicted as non-responders with NPVs largely >90%. At two weeks, subjects with very severe baseline depression who failed to demonstrate any improvement in mood were all non-responders. Lack of improvement in sleep at two weeks was also a significant predictor. Conclusions: Identifying a lack of early improvement in mood symptoms is a practical and robust method to predict non-response to rTMS. These findings suggest that a change in treatment protocol may be indicated in patients with severe or very severe baseline depression showing minimal mood improvement after one week.