Evidence from previous literature suggests that the nucleus accumbens (NAc), hippocampus, and amygdala play critical roles in the reward circuit. Meanwhile, it was also suggested that abnormalities in the reward circuit might be closely associated with the symptom of anhedonia of depression. However, few studies have investigated the structural alterations of the NAc, hippocampus, and amygdala in depression with anhedonia as the main clinical manifestation. Thus, the current study aimed to explore the structural changes of the subcortical regions among melancholic depression (MD) patients, especially in the NAc, hippocampus, and amygdala, to provide a theoretical basis for understanding the pathological mechanisms of MD. Seventy-two MD patients, 74 nonmelancholic depression (NMD) patients, and 81 healthy controls (HCs) matched for sex, age, and years of education were included in the study. All participants underwent T1-weighted MRI scans. Subcortical structure segmentation was performed using the FreeSurfer software. MD and NMD patients had reduced left hippocampal volume compared with HCs. Meanwhile, only MD patients had reduced bilateral NAc volumes. Moreover, correlation analyses showed correlations between left NAc volume and late insomnia and lassitude in MD patients. The reduced hippocampal volume may be related to the pathogenesis of major depressive disorder (MDD), and the reduced volume of the NAc may be the unique neural mechanism of MD. The findings of the current study suggest that future studies should investigate the different pathogenic mechanisms of different subtypes of MDD further to contribute to the development of individualized diagnostic and treatment protocols.