Background: The prevalence of depression is higher in individuals with autoimmune diseases, but the mechanisms underlying the observed comorbidities are unknown. Shared genetic etiology is a plausible explanation for the overlap, and in this study we tested whether genetic variation in the major histocompatibility complex (MHC), which is associated with risk for autoimmune diseases, is also associated with risk for depression. Methods: We fine-mapped the classical MHC (chr6: 29.6–33.1 Mb), imputing 216 human leukocyte antigen (HLA) alleles and 4 complement component 4 (C4) haplotypes in studies from the Psychiatric Genomics Consortium Major Depressive Disorder Working Group and the UK Biobank. The total sample size was 45,149 depression cases and 86,698 controls. We tested for association between depression status and imputed MHC variants, applying both a region-wide significance threshold (3.9 × 10−6) and a candidate threshold (1.6 × 10−4). Results: No HLA alleles or C4 haplotypes were associated with depression at the region-wide threshold. HLA-B*08:01 was associated with modest protection for depression at the candidate threshold for testing in HLA genes in the meta-analysis (odds ratio = 0.98, 95% confidence interval = 0.97–0.99). Conclusions: We found no evidence that an increased risk for depression was conferred by HLA alleles, which play a major role in the genetic susceptibility to autoimmune diseases, or C4 haplotypes, which are strongly associated with schizophrenia. These results suggest that any HLA or C4 variants associated with depression either are rare or have very modest effect sizes.