Background: Major depression (MD) is determined by a multitude of factors including genetic risk variants that regulate gene expression. We examined the genetic component of gene expression in MD by performing a transcriptome-wide association study (TWAS), inferring gene expression–trait relationships from genetic, transcriptomic, and phenotypic information. Methods: Genes differentially expressed in depression were identified with the TWAS FUSION method, based on summary statistics from the largest genome-wide association analysis of MD (n = 135,458 cases, n = 344,901 controls) and gene expression levels from 21 tissue datasets (brain; blood; thyroid, adrenal, and pituitary glands). Follow-up analyses were performed to extensively characterize the identified associations: colocalization, conditional, and fine-mapping analyses together with TWAS-based pathway investigations. Results: Transcriptome-wide significant differences between cases and controls were found at 94 genes, approximately half of which were novel. Of the 94 significant genes, 6 represented strong, colocalized, and potentially causal associations with depression. Such high-confidence associations include NEGR1, CTC-467M3.3, TMEM106B, LRFN5, ESR2, and PROX2. Lastly, TWAS-based enrichment analysis highlighted dysregulation of gene sets for, among others, neuronal and synaptic processes. Conclusions: This study sheds further light on the genetic component of gene expression in depression by characterizing the identified associations, unraveling novel risk genes, and determining which associations are congruent with a causal model. These findings can be used as a resource for prioritizing and designing subsequent functional studies of MD.