Background Major depressive disorder (MDD) is the second largest cause of global disease burden. It has an estimated heritability of 37%, but published genome-wide association studies have so far identified few risk loci. Haplotype-block-based regional heritability mapping (HRHM) estimates the localized genetic variance explained by common variants within haplotype blocks, integrating the effects of multiple variants, and may be more powerful for identifying MDD-associated genomic regions. Methods We applied HRHM to Generation Scotland: The Scottish Family Health Study, a large family- and population-based Scottish cohort (N = 19,896). Single-single nucleotide polymorphism (SNP) and haplotype-based association tests were used to localize the association signal within the regions identified by HRHM. Functional prediction was used to investigate the effect of MDD-associated SNPs within the regions. Results A haplotype block across a 24-kb region within the TOX2 gene reached genome-wide significance in HRHM. Single-SNP- and haplotype-based association tests demonstrated that five of nine genotyped SNPs and two haplotypes within this block were significantly associated with MDD. The expression of TOX2 and a brain-specific long noncoding RNA RP1-269M15.3 in frontal cortex and nucleus accumbens basal ganglia, respectively, were significantly regulated by MDD-associated SNPs within this region. Both the regional heritability and single-SNP associations within this block were replicated in the UK–Ireland group of the most recent release of the Psychiatric Genomics Consortium (PGC), the PGC2–MDD (Major Depression Dataset). The SNP association was also replicated in a depressive symptom sample that shares some individuals with the PGC2–MDD. Conclusions This study highlights the value of HRHM for MDD and provides an important target within TOX2 for further functional studies.