Tissue-specific gene expression has been found to be associated with multiple complex diseases including cancer, metabolic disease, aging, etc. However, few studies of brain-tissue-specific gene expression patterns have been reported, especially in psychiatric disorders. In this study, we performed joint analysis on large-scale transcriptome multi-tissue data to investigate tissue-specific expression patterns in major depressive disorder (MDD) and bipolar disorder (BP). We established the strategies of identifying tissues-specific modules, annotated pathways for elucidating biological functions of tissues, and tissue-specific genes based on weighted gene co-expression network analysis (WGCNA) and robust rank aggregation (RRA) with transcriptional profiling data from different human tissues and genome wide association study (GWAS) data, which have been expanded into overlapping tissue-specific modules and genes sharing with MDD and BP. Nine tissue-specific modules were identified and distributed across the four tissues in the MDD and six modules in the BP. In general, the annotated biological functions of differentially expressed genes (DEGs) in blood were mainly involved in MDD and BP progression through immune response, while those in the brain were in neuron and neuroendocrine response. Tissue-specific genes of the prefrontal cortex (PFC) in MDD-, such as IGFBP2 and HTR1A, were involved in disease-related functions, such as response to glucocorticoid, taste transduction, and tissue-specific genes of PFC in BP-, such as CHRM5 and LTB4R2, were involved in neuroactive ligand-receptor interaction. We also found PFC tissue-specific genes including SST and CRHBP were shared in MDD-BP, SST was enriched in neuroactive ligand-receptor interaction, and CRHBP shown was related to the regulation of hormone secretion and hormone transport.