The aims of this study were: (1) to identify candidate single-nucleotide polymorphisms (SNPs) and mechanisms of major depressive disorder (MDD) and (2) to generate SNP-to-gene-to-pathway hypotheses. An MDD genome-wide association study (GWAS) data set that included 365,419 SNPs in 1,821 MDD cases and 1,822 controls of European descent was used in this study. Identify Candidate Causal SNPs and Pathway (ICSNPathway) analysis was applied to the GWAS dataset. ICSNPathway analysis identified 21 candidate SNPs, 16 genes, and 5 pathways, which provided 16 hypothetical biological mechanisms. The strongest hypothetical biological mechanism was that rs3213764 alters the role of ATF7IP in the context of the pathways of negative regulation of transcription, negative regulation of nucleobase, nucleoside, nucleotide, and nucleic acid metabolic processes and negative regulation of gene expression (nominal p < 0.001, FDR = 0.043, 0.044, and 0.046, respectively). Five of 16 candidate genes are known to be associated with inflammatory or immune response that may be associated with MDD: ANPEP, PRDM1, ZBTB32, MMP8, and ENPEP. By applying the ICSNPathway analysis to the MDD GWAS data, 21 candidate SNPs, 16 genes that included ATF7IP, ANPEP, PRDM1, ZBTB32, MMP8, and ENPEP, and 5 pathways that involved negative regulation of transcription and nucleic acid metabolism were identified that may contribute to MDD susceptibility.