Despite thousands of common genetic loci of major depression disorders (MDD) have been identified by GWAS to date, a large proportion of genetic variation predisposing to MDD remains unaccounted for. By utilizing the newly released UK Biobank 200,643 exome dataset, we conducted an exome-wide association study to identify rare risk variants contributing to MDD. After quality control, 120,033 participants with MDD polygenic risk scores (PRS) values were included. The individuals with lower 30% quantile of the PRS value were filtered for case and control selecting. Then the cases were set as the individuals with upper 10% quantile of the PHQ depression score and lower 10% quantile were set as controls. Finally, 1612 cases and 1612 controls were included in this study. The variants were annotated by ANNOVRA software. After exclusions, 34,761 qualifying variants, including 148 frameshift variant, 335 non-frameshift variant, 33,758 nonsynonymous, 91 start-loss, 393 stop-gain, 36 stop-loss variants were imported into the SKAT R-package to perform single variants, gene-based burden and robust burden tests with minor allele frequency (MAF) < 0.01. Single variant association testing identified one variant, rs4057749 (P = 5.39 × 10-9), within OR8B4 gene at an exome-wide significance level. The gene-based burden test of the exonic variants identified genome-wide significant associations in OR8B4 (PSKAT = 6.23 × 10-5, PSKAT Robust = 4.49 × 10-5), TRAPPC11 (PSKAT = 0.014, PSKAT Robust = 0.015), SBK3 (PSKAT = 0.020, PSKAT Robust = 0.025) and TNRC6B (PSKAT = 0.026, PSKAT Robust = 0.036). We identified multiple novel rare risk variants contributing to MDD in the individuals with lower PRS of MDD. The findings can help to broaden the genetic insights of the MDD pathogenesis.