A core symptom of mood disorders is cognitive impairment in attention, memory and executive functions. Erythropoietin (EPO) is a candidate treatment for cognitive impairment in unipolar and bipolar disorders (UD and BD) and modulates cognition-related neural activity across a fronto-temporo-parietal network. This report investigates predicting the pharmacological treatment from functional magnetic resonance imaging (fMRI) data using a supervised machine learning approach. A total of 84 patients with UD or BD were included in a randomized double-blind parallel-group study in which they received eight weekly infusions of either EPO (40 000 IU) or saline. Task fMRI data were collected before EPO/saline infusions started (baseline) and 6 weeks after last infusion (follow-up). During the scanning sessions, participants were given an n-back working memory and a picture encoding task. Linear classification models with different regularization techniques were used to predict treatment status from both cross-sectional data (at follow-up) and longitudinal data (difference between baseline and follow-up). For the n-back and picture encoding tasks, data were available and analyzed for 52 (EPO; n = 28, Saline; n = 24) and 59 patients (EPO; n = 31, Saline; n = 28), respectively. We found limited evidence that the classifiers used could predict treatment status at a reliable level of performance (≤60% accuracy) when tested using repeated cross-validation. There was no difference in using cross-sectional versus longitudinal data. Whole-brain multivariate decoding applied to pharmaco-fMRI in small to moderate samples seems to be suboptimal for exploring data driven neuronal treatment mechanisms.