•The study analyses exome sequence data from nearly 6,000 subjects referred to a psychiatrist with depression or a related diagnosis.•No gene is identified in which rare, functional variants influence risk of psychiatric referral.•Depression genetics research seems unlikely to yield findings of clinical importance until far larger samples become available. Depression is moderately heritable but there is no common genetic variant which has a major effect on susceptibility. It is possible that some very rare variants could have substantial effect sizes and these could be identified from exome sequence data. Data from 50,000 exome-sequenced UK Biobank participants was analysed. Subjects were treated as cases if they had reported having seen a psychiatrist for “nerves, anxiety, tension or depression”. Gene-wise weighted burden analysis was performed to see if there were any genes or sets of genes for which there was an excess of rare, functional variants in cases. There were 5,872 cases and 43,862 controls. There were 22,028 informative genes but no gene or gene set produced a statistically significant result after correction for multiple testing. None of the genes or gene sets with the lowest p values appeared to be a biologically plausible candidate. The phenotype is based on self-report and the cases are likely to be somewhat heterogeneous. Likewise, it is expected that some of the subjects classed as controls will in fact have suffered from depression or some other psychiatric diagnosis. The number of cases is on the low side for a study of exome sequence data. The results conform exactly with the expectation under the null hypothesis. It seems unlikely that depression genetics research will implicate specific genes having a substantial impact on the risk of developing psychiatric illness severe enough to merit referral to a specialist until far larger samples become available.