A study of genome-wide gene expression in major depressive disorder (MDD) was undertaken in a large population-based sample to determine whether altered expression levels of genes and pathways could provide insights into biological mechanisms that are relevant to this disorder. Gene expression studies have the potential to detect changes that may be because of differences in common or rare genomic sequence variation, environmental factors or their interaction. We recruited a European ancestry sample of 463 individuals with recurrent MDD and 459 controls, obtained self-report and semi-structured interview data about psychiatric and medical history and other environmental variables, sequenced RNA from whole blood and genotyped a genome-wide panel of common single-nucleotide polymorphisms. We used analytical methods to identify MDD-related genes and pathways using all of these sources of information. In analyses of association between MDD and expression levels of 13 857 single autosomal genes, accounting for multiple technical, physiological and environmental covariates, a significant excess of low P-values was observed, but there was no significant single-gene association after genome-wide correction. Pathway-based analyses of expression data detected significant association of MDD with increased expression of genes in the interferon α/β signaling pathway. This finding could not be explained by potentially confounding diseases and medications (including antidepressants) or by computationally estimated proportions of white blood cell types. Although cause-effect relationships cannot be determined from these data, the results support the hypothesis that altered immune signaling has a role in the pathogenesis, manifestation, and/or the persistence and progression of MDD.