Genome-wide association studies (GWAS) of major depression and its relevant biological phenotypes have been extensively conducted in large samples, and transcriptome-wide analyses in the tissues of brain regions relevant to pathogenesis of depression, e.g., dorsolateral prefrontal cortex (DLPFC), have also been widely performed recently. Integrating these multi-omics data will enable unveiling of depression risk genes and even underlying pathological mechanisms. Here, we employ summary data-based Mendelian randomization (SMR) and integrative risk gene selector (iRIGS) approaches to integrate multi-omics data from GWAS, DLPFC expression quantitative trait loci (eQTL) analyses and enhancer-promoter physical link studies to prioritize high-confidence risk genes for depression, followed by independent replications across distinct populations. These integrative analyses identify multiple high-confidence depression risk genes, and numerous lines of evidence supporting pivotal roles of the netrin 1 receptor (DCC) gene in this illness across different populations. Our subsequent explorative analyses further suggest that DCC significantly predicts neuroticism, well-being spectrum, cognitive function and putamen structure in general populations. Gene expression correlation and pathway analyses in DLPFC further show that DCC potentially participates in the biological processes and pathways underlying synaptic plasticity, axon guidance, circadian entrainment, as well as learning and long-term potentiation. These results are in agreement with the recent findings of this gene in neurodevelopment and psychiatric disorders, and we thus further confirm that DCC is an important susceptibility gene for depression, and might be a potential target for new antidepressants.