DNA methylation is an epigenetic modification that provides stability and diversity to the cellular phenotype. It is influenced by both genetic sequence variation and environmental factors, and can therefore potentially account for variation of heritable phenotypes and disorders. Therefore, methylome-wide association studies (MWAS) are promising complements to genome-wide association studies (GWAS) of genetic variants. Of particular interest are methylation sites (CpGs) that are created or destroyed by the alleles of single-nucleotide polymorphisms (SNPs), as these so-called CpG-SNPs may show variation in methylation levels on top of what can be explained by the sequence variation. Using sequencing-based data from 1132 major depressive disorder (MDD) cases and controls, we performed a MWAS of 970,414 common CpG-SNPs. The analysis identified 27 suggestively significant (P < 1.00 × 10−5) CpG-SNPs associations. Furthermore, the MWAS results were over-represented (odds ratios ranging 1.36–5.00; P ranging 4.9 × 10−3–8.1 × 10−2) among findings from three recent GWAS for MDD-related phenotypes. Overlapping loci included, e.g., ROBO2, ASIC2, and DCC. As the CpG-SNP analysis accounts for the number of alleles that creates CpGs, the methylation differences could not be explained by differences in allele frequencies. Thus, the results show that the MWAS and GWASs provide independent lines of evidence for the involvement of these loci in MDD. In conclusion, our methylation study of MDD contributes novel information about loci of relevance that complements previous findings and generates new hypothesis about MDD etiology, such as that the functional effects of genetic association may be partly mediated and/or enhanced by the methylation status in these loci.