Major depressive disorder (MDD) is a highly prevalent disorder with substantial heritability. Heritability has been shown to be substantial and higher in the variant of MDD characterized by recurrent episodes of depression. Genetic studies have thus far failed to identify clear and consistent evidence of genetic risk factors for MDD. We conducted a genome-wide association study (GWAS) in two independent datasets. The first GWAS was performed on 1022 recurrent MDD patients and 1000 controls genotyped on the Illumina 550 platform. The second was conducted on 492 recurrent MDD patients and 1052 controls selected from a population-based collection, genotyped on the Affymetrix 5.0 platform. Neither GWAS identified any SNP that achieved GWAS significance. We obtained imputed genotypes at the Illumina loci for the individuals genotyped on the Affymetrix platform, and performed a meta-analysis of the two GWASs for this common set of approximately half a million SNPs. The meta-analysis did not yield genome-wide significant results either. The results from our study suggest that SNPs with substantial odds ratio are unlikely to exist for MDD, at least in our datasets and among the relatively common SNPs genotyped or tagged by the half-million-loci arrays. Meta-analysis of larger datasets is warranted to identify SNPs with smaller effects or with rarer allele frequencies that contribute to the risk of MDD.