Major depressive disorder (MDD) is a common complex trait with enormous public health significance. As part of the Genetic Association Information Network initiative of the US Foundation for the National Institutes of Health, we conducted a genome-wide association study of 435 291 single nucleotide polymorphisms (SNPs) genotyped in 1738 MDD cases and 1802 controls selected to be at low liability for MDD. Of the top 200, 11 signals localized to a 167 kb region overlapping the gene piccolo (PCLO, whose protein product localizes to the cytomatrix of the presynaptic active zone and is important in monoaminergic neurotransmission in the brain) with P-values of 7.7×10⁻⁷ for rs2715148 and 1.2×10⁻⁶ for rs2522833. We undertook replication of SNPs in this region in five independent samples (6079 MDD independent cases and 5893 controls) but no SNP exceeded the replication significance threshold when all replication samples were analyzed together. However, there was heterogeneity in the replication samples, and secondary analysis of the original sample with the sample of greatest similarity yielded P=6.4×10⁻⁸ for the nonsynonymous SNP rs2522833 that gives rise to a serine to alanine substitution near a C2 calcium-binding domain of the PCLO protein. With the integrated replication effort, we present a specific hypothesis for further studies.