Epigenetic modifications, such as DNA methylation, contribute to the pathophysiology of major depressive disorder (MDD). This study aimed to identify novel MDD-associated epigenetic loci using DNA methylation profiles and explore the correlations between epigenetic loci and cortical thickness changes in patients with MDD. A total of 350 patients with MDD and 161 healthy controls (HCs) were included in the epigenome-wide association studies (EWAS). We analyzed methylation, copy number alteration (CNA), and gene network profiles in the MDD group. A total of 234 patients with MDD and 135 HCs were included in neuroimaging methylation analysis. Pearson's partial correlation analysis was used to estimate the correlation between cortical thickness of brain regions and DNA methylation levels of the loci. In total, 2018 differentially methylated probes (DMPs) and 351 differentially methylated regions (DMRs) were identified. DMP-related genes were enriched in two networks involved in the central nervous system. In neuroimaging analysis, patients with MDD showed cortical thinning in the prefrontal regions and cortical thickening in several occipital regions. Cortical thickness of the left ventrolateral prefrontal cortex (VLPFC, i.e. pars triangularis) was negatively correlated with eight DMPs associated with six genes (EML6, ZFP64, CLSTN3, KCNMA1, TAOK2, and NT5E). Through combining DNA methylation and neuroimaging analyses, negative correlations were identified between the cortical thickness of the left VLPFC and DNA methylation levels of eight DMPs. Our findings could improve our understanding of the pathophysiology of MDD.