There are marked sex differences in the prevalence, phenotypic presentation and treatment response for major depression. While genome-wide association studies (GWAS) adjust for sex differences, to date, no studies seek to identify sex-specific markers and pathways. In this study, we performed a sex-stratified genome-wide association analysis for broad depression with the UK Biobank total participants (N = 274,141), including only non-related participants, as well as with males (N = 127,867) and females (N = 146,274) separately. Bioinformatics analyses were performed to characterize common and sex-specific markers and associated processes/pathways. We identified 11 loci passing genome-level significance (P < 5 × 10−8) in females and one in males. In both males and females, genetic correlations were significant between the broad depression GWA and other psychopathologies; however, correlations with educational attainment and metabolic features including body fat, waist circumference, waist-to-hip ratio and triglycerides were significant only in females. Gene-based analysis showed 147 genes significantly associated with broad depression in the total sample, 64 in the females and 53 in the males. Gene-based analysis revealed “Regulation of Gene Expression” as a common biological process, but suggested sex-specific molecular mechanisms. Finally, sex-specific polygenic risk scores (PRSs) for broad depression outperformed total and the opposite sex PRSs in the prediction of broad major depressive disorder. These findings provide evidence for sex-dependent genetic pathways for clinical depression as well as for health conditions comorbid with depression.