Major depression (MD) is often characterised as a categorical disorder; however, observational studies comparing sub-threshold and clinical depression suggest MD is continuous. Many of these studies do not explore the full continuum and are yet to consider genetics as a risk factor. This study sought to understand if polygenic risk for MD could provide insight into the continuous nature of depression. Factor analysis on symptom-level data from the UK Biobank ( = 148 957) was used to derive continuous depression phenotypes which were tested for association with polygenic risk scores (PRS) for a categorical definition of MD ( = 119 692). Confirmatory factor analysis showed a five-factor hierarchical model, incorporating 15 of the original 18 items taken from the PHQ-9, GAD-7 and subjective well-being questionnaires, produced good fit to the observed covariance matrix (CFI = 0.992, TLI = 0.99, RMSEA = 0.038, SRMR = 0.031). MD PRS associated with each factor score (standardised range: 0.057-0.064) and the association remained when the sample was stratified into case- and control-only subsets. The case-only subset had an increased association compared to controls for all factors, shown via a significant interaction between lifetime MD diagnosis and MD PRS ( value range: 2.23 × 10 -3.94 × 10 ). An association between MD PRS and a continuous phenotype of depressive symptoms in case- and control-only subsets provides support against a purely categorical phenotype; indicating further insights into MD can be obtained when this within-group variation is considered. The stronger association within cases suggests this variation may be of particular importance.