Previous reports of altered grey and white matter structure in Major Depressive Disorder (MDD) have been inconsistent. Recent meta-analyses have, however, reported reduced hippocampal grey matter volume in MDD and reduced white matter integrity in several brain regions. The use of different diagnostic criteria, scanners and imaging sequences may, however, obscure further anatomical differences. In this study, we tested for differences in subcortical grey matter volume (n = 1157) and white matter integrity (n = 1089) between depressed individuals and controls in the subset of 8590 UK Biobank Imaging study participants who had undergone depression assessments. Whilst we found no significant differences in subcortical volumes, significant reductions were found in depressed individuals versus controls in global white matter integrity, as measured by fractional anisotropy (FA) (β = -0.182, p = 0.005). We also found reductions in FA in association/commissural fibres (β = -0.184, pcorrected = 0.010) and thalamic radiations (β = -0.159, pcorrected = 0.020). Tract-specific FA reductions were also found in the left superior longitudinal fasciculus (β = -0.194, pcorrected = 0.025), superior thalamic radiation (β = -0.224, pcorrected = 0.009) and forceps major (β = -0.193, pcorrected = 0.025) in depression (all betas standardised). Our findings provide further evidence for disrupted white matter integrity in MDD.