Polygenic risk prediction remains an important aim of genetic association studies. Currently, the predictive power of schizophrenia polygenic risk scores (PRSs) is not large enough to allow highly accurate discrimination between cases and controls and thus is not adequate for clinical integration. Since PRSs are rarely used to reveal biological functions or to validate candidate pathways, to fill this gap, we investigated whether their predictive ability could be improved by building genome-wide (GW-PRSs) and pathway-specific PRSs, using distance- or expression quantitative trait loci (eQTLs)- based mapping between genetic variants and genes. We focused on five pathways (glutamate, oxidative stress, GABA/interneurons, neuroimmune/neuroinflammation and myelin) which belong to a critical hub of schizophrenia pathophysiology, centred on redox dysregulation/oxidative stress. Analyses were first performed in the Lausanne Treatment and Early Intervention in Psychosis Program (TIPP) study (n = 340, cases/controls: 208/132), a sample of first-episode of psychosis patients and matched controls, and then validated in an independent study, the epidemiological and longitudinal intervention program of First-Episode Psychosis in Cantabria (PAFIP) (n = 352, 224/128). Our results highlighted two main findings. First, GW-PRSs for schizophrenia were significantly associated with early psychosis status. Second, oxidative stress was the only significantly associated pathway that showed an enrichment in both the TIPP (p = 0.03) and PAFIP samples (p = 0.002), and exclusively when gene-variant linking was done using eQTLs. The results suggest that the predictive accuracy of polygenic risk scores could be improved with the inclusion of information from functional annotations, and through a focus on specific pathways, emphasizing the need to build and study functionally informed risk scores.