Objectives Major depressive disorder (MDD) is a psychiatric disorder with pathogenesis influenced by both genetic and environmental factors. To date, the molecular-level understanding of its aetiology remains unclear. Thus, we aimed to identify genetic variants and susceptibility genes for MDD with a genome-wide association study (GWAS) approach. Methods We performed a meta-analysis of GWASs and a gene-based analysis on two Northern Italy isolated populations (cases/controls n = 166/472 and 33/320), followed by replication and polygenic risk score (PRS) analyses in Italian independent samples (cases n = 464, controls n = 339). Results We identified two novel MDD-associated genes, KCNQ5 (lead SNP rs867262, p = 3.82 × 10−9) and CTNNA2 (rs6729523, p = 1.25 × 10−8). The gene-based analysis revealed another six genes (p < 2.703 × 10−6): GRM7, CTNT4, SNRK, SRGAP3, TRAPPC9, and FHIT. No replication of the genome-wide significant SNPs was found in the independent cohort, even if 14 SNPs around CTNNA2 showed association with MDD and related phenotypes at the nominal level of p (<0.05). Furthermore, the PRS model developed in the discovery cohort discriminated cases and controls in the replication cohort. Conclusions Our work suggests new possible genes associated with MDD, and the PRS analysis confirms the polygenic nature of this disorder. Future studies are required to better understand the role of these findings in MDD.