Background: Major Depression (MD) is determined by a multitude of factors including genetic risk variants which regulate gene expression (GE). Here, we examined the genetic component of GE in MD by performing a Transcriptome-Wide Association Study (TWAS), inferring GE-trait relationships from genetic, transcriptomic and phenotypic information. Method: Genes differentially expressed in depression were identified with the TWAS FUSION method, based on summary statistics from the largest genome-wide association analysis of MD (N cases = 135,458) and GE levels from 20 tissue datasets. Follow-up analyses were performed to extensively characterize the identified associations: colocalization, conditional, and fine-mapping analyses together with functionally-enriched pathway investigations. Results: Transcriptome-wide significant GE differences between cases and controls were found at 91 genes, 50 of which were not found in previous MD TWASs. Of the 91 significant genes, eight represented strong, colocalized, and potentially causal associations with depression, which were independent from the effect of nearby genes. Such "high-confidence associations" include NEGR1, CTC-467M3.3, TMEM106B, CTD-2298J14.2, CCDC175, ESR2, PROX2, ZC3H7B. Lastly, TWAS-based enrichment analysis highlighted dysregulation of gene sets for long term potentiation, dendritic shaft, and memory processes in MD. Conclusion: This study has shed light on the genetic component of GE in depression by characterizing the identified associations, unravelling novel risk genes, and determining which associations are congruent with a causal model. These findings can be used as a resource for prioritizing and designing subsequent functional studies of MD.