Major Depressive Disorder (depression) is a common and highly heterogeneous psychiatric disorder. Depression displays striking sex differences in its prevalence (twice as frequent in females compared to males) and presentation. However, the origin of these sex differences remains elusive. Here, we conducted a sex-stratified genome-wide association study (GWAS) and genome-wide genotype–by–sex interaction (GxS) analysis for depression, including the X chromosome. The analyses were completed in three cohorts; The Australian Genetics of Depression Study (Female: cases=10,359, controls=7,106; Male: cases=3,153, controls=6,581), The BIObanks Netherlands Internet Collaboration (Female: cases=11,730, controls=28,441; Male: cases=4,925, controls=20,968) and UK Biobank (Female: cases=31,111, controls=31,042; Male: cases=13,048, controls=31,529). These cohorts were meta-analysed with the largest publically available sex-stratified GWAS and genome-wide GxS analysis, including cohorts from the Psychiatric Genetics and Integrative Psychiatric Research Consortia (Female: cases=22,114, controls=19,723; Male: cases=10,194, controls=18,799). In all cohorts, depression cases were defined using the DSM (Diagnostic and Statistical Manual of Mental Disorders) and/or ICD (International Classification of Diseases). We identified 12 independent loci in females and 1 in males reaching genome-wide significance (P<5×10−8). Despite no genome-wide significant GxS interactions, 5 independent loci showed suggestive GxS interactions (p < 1×10−6). Estimates for autosomal SNP-based heritability (h2SNP) of depression were not significantly different between females (11.0%) and males (9.5%) (Z=1.16, p=0.12). We will also conduct analyses to identify causal SNPs and whether there are sex-dependent correlations between depression and a range of comorbid health conditions. Gene-based and gene set enrichment tests will be completed to determine sex-dependent genes, pathways and functions associated with depression. We have completed the largest sex-stratified GWAS and genome-wide GxS analysis of depression to date, using in-depth phenotyping to define depression and including the X chromosome. Our findings provide evidence for sex-dependent genetic markers of depression.