Background Major depressive disorder (MDD) is a disabling mood disorder, and despite a known heritable component, a large meta-analysis of genome-wide association studies revealed no replicable genetic risk variants. Given prior evidence of heterogeneity by age at onset in MDD, we tested whether genome-wide significant risk variants for MDD could be identified in cases subdivided by age at onset. Methods Discovery case-control genome-wide association studies were performed where cases were stratified using increasing/decreasing age-at-onset cutoffs; significant single nucleotide polymorphisms were tested in nine independent replication samples, giving a total sample of 22,158 cases and 133,749 control subjects for subsetting. Polygenic score analysis was used to examine whether differences in shared genetic risk exists between earlier and adult-onset MDD with commonly comorbid disorders of schizophrenia, bipolar disorder, Alzheimer's disease, and coronary artery disease. Results We identified one replicated genome-wide significant locus associated with adult-onset (>27 years) MDD (rs7647854, odds ratio: 1.16, 95% confidence interval: 1.11–1.21, p = 5.2 × 10-11). Using polygenic score analyses, we show that earlier-onset MDD is genetically more similar to schizophrenia and bipolar disorder than adult-onset MDD. Conclusions We demonstrate that using additional phenotype data previously collected by genetic studies to tackle phenotypic heterogeneity in MDD can successfully lead to the discovery of genetic risk factor despite reduced sample size. Furthermore, our results suggest that the genetic susceptibility to MDD differs between adult- and earlier-onset MDD, with earlier-onset cases having a greater genetic overlap with schizophrenia and bipolar disorder.