Alcohol use disorder (AUD) is the second most prevalent mental disorder and might be related to depression. Major vault protein (MVP) is a cytoplasmic protein related to vesicle transport. The present study aimed to investigate the interaction between a genetic variant (MVP rs4788186) and depression in adult male Han Chinese with AUD during withdrawal. All participants (N = 435) were diagnosed with AUD. Alcohol dependence level was measured using the Michigan Alcoholism Screening Test, and depression was measured using the self-rating depression scale. Genomic DNA was extracted from peripheral blood and genotyped. Hierarchical regression analysis identified an interaction between MVP rs4788186 and alcohol dependence level for depression (β = -0.17, p < 0.05). Then, a region of significance test was performed to interpret the interaction effect. Re-parameterized regression models revealed that the interaction between MVP rs4788186 and alcohol problem severity fit the strong differential susceptibility model (R2 = 0.08, p < 0.001), suggesting that the AA homozygotes would be more likely subjects with the G allele to experience major depression symptoms. Carriers of the AA homozygote of MVP rs4788186 may be more susceptible to severe alcohol problems and higher levels of depression during withdrawal.