Repetitive transcranial magnetic stimulation (rTMS) has established therapeutic efficacy for major depressive disorder (MDD). While translational research has focused primarily on understanding the mechanism of action of TMS on functional activation and connectivity, the effects on structural connectivity remain largely unknown especially when rTMS is applied using subject-specific brain targets. This study aims to use novel diffusion magnetic resonance imaging (dMRI) analysis to examine microstructural changes related to rTMS treatment response using a unique cohort of 21 patients with MDD treated using rTMS with subject-specific targets. White matter dMRI microstructural measures and clinical scores were captured before and after the full course of treatment. We defined disease-relevant fiber bundles connected to different subregions of the left prefrontal cortex and analyzed changes in diffusion properties as well as correlations between the changes of dMRI measures and the changes in Hamilton Depression Rating Scale (HAMD). No significant changes were observed in tracts connected to the TMS targets. rTMS significantly increased the extra-axonal free-water volume, fractional anisotropy and decreased the radial diffusivity in anterior-medial prefrontal fiber bundles but did not lead to raw changes in lateral prefrontal tracts. That said, the microstructural changes in the lateral prefrontal white matter were significantly correlated with treatment response. Moreover, pre-rTMS dMRI measures of the dorsal anterior cingulate cortex and lateral prefrontal cortex connections are correlated with changes in HAMD scores. Microstructural changes in the anterior-medial and lateral prefrontal white matter are potentially involved in treatment response to TMS, though further investigation is needed using larger datasets.