Most individuals at ultra-high risk (UHR) for psychosis do not transition to frank illness. Nevertheless, many have poor clinical outcomes and impaired psychosocial functioning. This study used voxel-based morphometry to investigate if baseline grey and white matter brain densities at identification as UHR were associated with functional outcome at medium-to long-term follow-up. Participants were help-seeking UHR individuals (n = 109, 54M: 55F) who underwent magnetic resonance imaging at baseline; functional outcome was assessed an average of 9.2 years later. Primary analysis showed that lower baseline grey matter density, but not white matter density, in bilateral frontal and limbic areas, and left cerebellar declive were associated with poorer functional outcome (Social and Occupational Functioning Assessment Scale [SOFAS]). These findings were independent of transition to psychosis or persistence of the at-risk mental state. Similar regions were significantly associated with lower self-reported levels of social functioning and increased negative symptoms at follow-up. Exploratory analyses showed that lower baseline grey matter densities in middle and inferior frontal gyri were significantly associated with decline in Global Assessment of Functioning (GAF) score over follow- up. There was no association between baseline grey matter density and IQ or positive symptoms at followup. The current findings provide novel evidence that those with the poorest functional outcomes have the lowest grey matter densities at identification as UHR, regardless of transition status or persistence of the at-risk mental state. Replication and validation of these findings may allow for early identification of poor functional outcome and targeted interventions.