Some efforts were done to investigate the disruption of brain causal connectivity networks involved in major depressive disorder (MDD) using Granger causality (GC) analysis. However, the homogenous hemodynamic response function (HRF) assumption over the brain may disturb the inference of temporal precedence. Here we applied a blind deconvolution approach to examine the altered HRF shape in first-episode, drug-naïve MDD patients. The regions with abnormal HRF shape in patients were chosen as seeds to detect the GC alterations in MDD. The results demonstrated significantly decreased magnitude of spontaneous hemodynamic response of the orbital frontal cortex (OFC) and the caudate nucleus (CAU) in MDD comparing to healthy controls, suggesting MDD patients likely had alterations in neurovascular coupling and cerebrovascular physiology in these two regions. GC mapping showed increased/decreased GC in OFC-/CAU centered networks in MDD. The outgoing GC values from OFC to anterior cingulate cortex and occipital regions were positively correlated with Hamilton Depression Scale (HAMD) scores, while the incoming GC from insula, middle and superior temporal gyrus to CAU were negatively correlated with HAMD scores of MDD. The abnormalities of directional connections in the cortico-subcortico-cerebellar network may lead to unbalanced integrating the emotional-related information for MDD, and further exacerbating depressive symptoms.