Major depressive disorder (MDD) is one of the most prevalent psychiatric disorders and a leading cause of disability worldwide. Though recent genome-wide association studies (GWAS) have identified multiple risk variants for MDD, how these variants confer MDD risk remains largely unknown. Here we systematically characterize the regulatory mechanism of MDD risk variants using a functional genomics approach. By integrating chromatin immunoprecipitation sequencing (ChIP-Seq) (from human brain tissues or neuronal cells) and position weight matrix (PWM) data, we identified 34 MDD risk SNPs that disrupt the binding of 15 transcription factors (TFs). We verified the regulatory effect of the TF binding-disrupting SNPs with reporter gene assays, allelic-specific expression analysis, and CRISPR-Cas9-mediated genome editing. Expression quantitative trait loci (eQTL) analysis identified the target genes that might be regulated by these regulatory risk SNPs. Finally, we found that NEGR1 (regulated by the TF binding-disrupting MDD risk SNP rs3101339) was dysregulated in the brains of MDD cases compared with controls, implying that rs3101339 may confer MDD risk by affecting NEGR1 expression. Our findings reveal how genetic variants contribute to MDD risk by affecting TF binding and gene regulation. More importantly, our study identifies the potential MDD causal variants and their target genes, thus providing pivotal candidates for future mechanistic study and drug development.