Alterations were found in parts of the brain known as white matter, which contains fibre tracts that enable brain cells to communicate with one another by electrical signals.
White matter is a key component of the brain's wiring and its disruption has been linked to problems with emotion processing and thinking skills, researchers said.
The study of more than 3,000 people - the largest of its type to date - sheds light on the biology of depression and could help in the search for better diagnosis and treatment.
A quality of the matter - known as white matter integrity - was reduced in people who reported symptoms indicative of depression. The same changes were not seen in people who were unaffected.
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Depression is the world's leading cause of disability. Symptoms include low mood, exhaustion and feelings of emptiness, researchers said.
Participants were drawn from UK Biobank, a national research resource with health data available from 500,000 volunteers.
"This study uses data from the largest single sample published to date and shows that people with depression have changes in the white matter wiring of their brain," said Heather Whalley, a senior research fellow at the University of Edinburgh.
"Our next steps will be to look at how the absence of changes in the brain relates to better protection from distress and low mood," said Whalley.
The research was published in the journal Scientific Reports.