Research has shown a link between depression risk and how gamers form relationships with their in-game figure of representation, called avatar. This is reinforced by literature supporting that a gamer's connection to their avatar may provide broader insight into their mental health. Therefore, it has been argued that if properly examined, the bond between a person and their avatar may reveal information about their current or potential struggles with depression offline. To examine whether the connection with an individuals' avatars may reveal their risk for depression, longitudinal data from 565 adults/adolescents (Mage = 29.3 years, SD = 10.6) were evaluated twice (six months apart). Participants completed the User-Avatar-Bond [UAB] scale and Depression Anxiety Stress Scale to measure avatar bond and depression risk. A series of tuned and untuned artificial intelligence [AI] classifiers analyzed their responses concurrently and prospectively. This allowed the examination of whether user-avatar bond can provide cross-sectional and predictive information about depression risk. Findings revealed that AI models can learn to accurately and automatically identify depression risk cases, based on gamers' reported UAB, age, and length of gaming involvement, both at present and six months later. In particular, random forests outperformed all other AIs, while avatar immersion was shown to be the strongest training predictor. Study outcomes demonstrate that UAB can be translated into accurate, concurrent, and future, depression risk predictions via trained AI classifiers. Assessment, prevention, and practice implications are discussed in the light of these results.