The course of major depressive disorder is often characterized by progressing chronicity, but whether this applies to the course of self-reported psychological distress remains unclear. We examined whether the risk of self-reported psychological distress becomes progressively higher the longer the history of distress and whether prolonged history of distress modifies associations between risk markers and future distress. Participants were British civil servants from the prospective Whitehall II cohort study (n=7934; 31.5% women, mean age 44.5 years at baseline) followed from 1985 to 2006 with repeat data collected in 7 study phases. Psychological distress was assessed with the 30-item General Health Questionnaire (GHQ). Sex, socioeconomic status, marital status, ethnicity, physical activity, alcohol consumption, smoking, and obesity were assessed as risk markers. Recurrent history of psychological distress was associated with a progressively increasing risk of future distress in a dose-response manner. Common risk markers, such as low socioeconomic status, non-White ethnicity, being single, and alcohol abstinence, were stronger predictors of subsequent distress in participants with a longer history of psychological distress. Sex differences in psychological distress attenuated with prolonged distress history. The participants were already adults in the beginning of the study, so we could not assess the progressive chronicity of psychological distress from adolescence onwards. These data suggest that self-reported psychological distress becomes more persistent over time and that a longer prior exposure to psychological distress increases sensitivity to the stressful effects of certain risk markers.