Background: Previous reports of altered grey and white matter structure in Major Depressive Disorder (MDD) have been inconsistent. Recent meta-analyses have, however, reported reduced hippocampal grey matter volume in MDD and reduced white matter integrity in several brain regions. The use of different diagnostic criteria, different scanners and imaging sequences may, however, obscure further anatomical differences. Methods: In this study, we tested for differences in subcortical grey matter volume and white matter integrity between depressed individuals and controls in a large sample of subjects from the first data release of the UK Biobank imaging study of 4446 individuals, which used consistent diagnostic criteria at a single assessment centre, with a single MRI scanner and protocol. Results: Whilst we found no significant differences in subcortical volumes, we report significant reductions in depressed individuals versus controls in global white matter integrity, as measured by fractional anisotropy (FA) (β = -0.187, p = 0.017). We also report reductions in FA in association/commissural fibres (β = -0.184, p = 0.019) and thalamic radiations (β = -0.175, p = 0.027). Examining tracts individually, we report tract-specific FA reductions in the left superior longitudinal fasciculus (β = -0.218, pcorrected = 0.012) and superior thalamic radiation (β = -0.258, pcorrected = 0.010) in subjects with depression. Conclusions: Our findings highlight the need for further large adequately-powered studies of depression and provide further evidence for disrupted white matter integrity in the disorder. Future studies would focus on exploring the typical neuro-phenotype in homogenous subgroups of depression.