Background The genetics of depression has been explored in genome-wide association studies that focused on either major depressive disorder or depressive symptoms with mostly negative findings. A broad depression phenotype including both phenotypes has not been tested previously using a genome-wide association approach. We aimed to identify genetic polymorphisms significantly associated with a broad phenotype from depressive symptoms to major depressive disorder. Methods We analyzed two prior studies of 70,017 participants of European ancestry from general and clinical populations in the discovery stage. We performed a replication meta-analysis of 28,328 participants. Single nucleotide polymorphism (SNP)-based heritability and genetic correlations were calculated using linkage disequilibrium score regression. Discovery and replication analyses were performed using a p-value-based meta-analysis. Lifetime major depressive disorder and depressive symptom scores were used as the outcome measures. Results The SNP-based heritability of major depressive disorder was 0.21 (SE = 0.02), the SNP-based heritability of depressive symptoms was 0.04 (SE = 0.01), and their genetic correlation was 1.001 (SE = 0.2). We found one genome-wide significant locus related to the broad depression phenotype (rs9825823, chromosome 3: 61,082,153, p = 8.2 × 10–9) located in an intron of the FHIT gene. We replicated this SNP in independent samples (p =.02) and the overall meta-analysis of the discovery and replication cohorts (1.0 × 10–9). Conclusions This large study identified a new locus for depression. Our results support a continuum between depressive symptoms and major depressive disorder. A phenotypically more inclusive approach may help to achieve the large sample sizes needed to detect susceptibility loci for depression.