Neuroimaging studies have revealed gray matter abnormalities in schizophrenia in various regions of the brain. It is, however, still unclear whether such abnormalities are already present in individuals at ultra-high risk (UHR) for transition into psychosis. We investigated this issue using voxel-based morphometry of structural magnetic resonance images (MRI) and compared UHR patients with first-episode patients with schizophrenia and healthy controls. Gray matter volume maps from high-resolution MR T1-weighted whole brain images were analyzed in a cross-sectional study in 30 UHR patients, 23 first-episode schizophrenic patients and 29 controls. UHR patients showed significantly lower gray matter volume in the cingulate gyrus bilaterally, in the right inferior frontal and right superior temporal gyrus, as well as in the left and right hippocampus in comparison to healthy subjects. First-episode patients with schizophrenia showed smaller gray matter volume in the cingulate cortex bilaterally, in the left orbitofrontal gyrus, in the right inferior frontal and superior temporal gyrus, in the right temporal pole, in the left and right hippocampus, in the left parahippocampus, left amygdala, and in the left fusiform gyrus compared to the UHR patients. This study provides further evidence that gray matter brain volume, especially in the anterior cingulate cortex, is already reduced in the prodromal state of schizophrenia.