Background: We sought to characterize methylation changes in brain and blood associated with major depressive disorder (MDD). As analyses of bulk tissue may obscure association signals and hamper the biological interpretation of findings, these changes were studied on a cell type–specific level. Methods: In 3 collections of human postmortem brain (n = 206) and 1 collection of blood samples (N = 1132) of MDD cases and controls, we used epigenomic deconvolution to perform cell type–specific methylome-wide association studies within subpopulations of neurons/glia for the brain data and granulocytes/T cells/B cells/monocytes for the blood data. Sorted neurons/glia from a fourth postmortem brain collection (n = 58) were used for validation purposes. Results: Cell type–specific methylome-wide association studies identified multiple findings in neurons/glia that were detected across brain collections and were reproducible in physically sorted nuclei. Cell type–specific analyses in blood samples identified methylome-wide significant associations in T cells, monocytes, and whole blood that replicated findings from a past methylation study of MDD. Pathway analyses implicated p75 neurotrophin receptor/nerve growth factor signaling and innate immune toll-like receptor signaling in MDD. Top results in neurons, glia, bulk brain, T cells, monocytes, and whole blood were enriched for genes supported by genome-wide association studies for MDD and other psychiatric disorders. Conclusions: We both replicated and identified novel MDD–methylation associations in human brain and blood samples at a cell type–specific level. Our results provide mechanistic insights into how the immune system may interact with the brain to affect MDD susceptibility. Importantly, our findings involved associations with MDD in human samples that implicated many closely related biological pathways. These disease-linked sites and pathways represent promising new therapeutic targets for MDD.