Attrition rates are high during treatment for major depressive disorder (MDD), and patients who drop out are less likely to reach remission. This report evaluates the incidence, timing, and predictors of attrition during second-step medication treatment. Outpatients in the multisite Sequenced Treatment Alternatives to Relieve Depression (STAR*D) study receiving a medication augmentation (n=563) or medication switch (n=723) for non-psychotic MDD after an unsatisfactory outcome with citalopram were evaluated to determine attrition rates and pretreatment sociodemographic or clinical predictors of attrition. Twenty percent of participants receiving a medication augmentation and 27% receiving a medication switch dropped out before 12 wk in the second treatment step. Remission rates were lower for dropouts [7% vs. 43% (medication augmentation); 12% vs. 31% (medication switch)]. For medication augmentation, Black and other non-Caucasian races, Hispanic ethnicity, younger age, family history of drug abuse, concurrent drug abuse, sociodemographic disadvantage, less symptom improvement with initial citalopram treatment, and greater symptom severity when beginning augmentation were associated with attrition. For medication switch, Black and other non-Caucasian races, younger age, more melancholic features, and lower exit doses but more severe side-effects with citalopram treatment were associated with attrition. Minority status, younger age, and greater difficulty with the first treatment step are risk factors for attrition in the second treatment step. Focus on patients with attrition risk factors for medication augmentation or switch strategies may enhance retention and improve outcomes.