Previous brain-imaging studies have reported that major depressive disorder (MDD) is characterized by decreased volumes of several cortical and subcortical structures, including the hippocampus, amygdala, anterior cingulate cortex, and caudate nucleus. The purpose of the present study was to identify structural volumetric differences between MDD and healthy participants using a method that allows a comparison of gray and white matter volume across the whole brain. In addition, we explored the relation between symptom severity and brain regions with decreased volumes in MDD participants. The study group comprised 22 women diagnosed with MDD and 25 healthy women with no history of major psychiatric disorders. Magnetic resonance brain images were analyzed using optimized voxel-based morphometry to examine group differences in regional gray and white matter volume. Compared with healthy controls, MDD participants were found to have decreased gray matter volume in the bilateral caudate nucleus and the thalamus. No group differences were found for white matter volume, nor were there significant correlations between gray matter volumes and symptom severity within the MDD group. The present results suggest that smaller volume of the caudate nucleus may be related to the pathophysiology of MDD and may account for abnormalities of the cortico-striatal-pallido-thalamic loop in MDD.