In a genome-wide association study (GWAS) meta-analysis of 685,808 individuals with major depression (MD) and 4,364,225 controls from 29 countries and across diverse and admixed ancestries, we identify 697 independent associations at 636 loci, 293 of which are novel. Using fine-mapping and functional genomic tools, we find 308 high-confidence gene associations and enrichment of postsynaptic density and receptor clustering. Leveraging new single-cell gene expression data, we conducted a causal neural cell type enrichment analysis that implicates dysregulation of excitatory and inhibitory midbrain and forebrain neurons, peptidergic neurons, and medium spiny neurons in MD. Our findings are enriched for the targets of antidepressants and provide potential antidepressant repurposing opportunities (e.g., pregabalin and modafinil). Polygenic scores (PGS) trained using either European or multi-ancestry data significantly predicted MD status across all five diverse ancestries and explained a maximum of 5.8% of the variance in liability to MD in Europeans. These findings represent a major advance in our understanding of MD across global populations. MD GWAS reveals known and novel biological targets that may be used to target and develop pharmacotherapies addressing the considerable unmet need for effective treatment.