The microstructure of white matter in patients with major depressive disorder (MDD) has been demonstrated to be abnormal. However, it remains unclear whether these changes exist prior to the onset of disease. In this study, diffusion tensor imaging was used to evaluate white matter integrity in individuals who exhibited cognitive vulnerability to depression (CVD), MDD, and healthy controls (HC). Compared with the HC, MDD exhibited a lower fractional anisotropy (FA) in ten brain regions: the cerebral peduncle, the anterior and posterior limbs of the internal capsule (ALIC and PLIC), the external capsule, the retrolenticular part of the internal capsule (RLIC), the body and splenium of the corpus callosum, the superior and posterior corona radiata, and the cingulum. Moreover, CVD had significantly lower FA in the ALIC, the PLIC, the external capsule, the RLIC, the cerebral peduncle, and the superior corona radiata than did the HC. However, the white matter integrity was not significantly different between the CVD and MDD. These preliminary results indicate that alterations in the white matter observed in CVD may be a marker of vulnerability to MDD and that these alterations may exist prior to the onset of depression.