Major depressive disorder (MDD) is known for its substantial clinical and suspected causal heterogeneity. It is characterised by low mood, psychomotor slowing, and increased levels of the personality trait neuroticism; factors also associated with schizophrenia (SCZ). It is possible that some cases of MDD may have a substantial genetic loading for SCZ. The presence of SCZ-like MDD sub-groups would be indicated by an interaction between MDD status and polygenic risk of SCZ on cognitive, personality and mood measures. Here, we hypothesised that higher SCZ-polygenic risk would define larger MDD case-control differences in cognitive ability, and smaller differences in distress and neuroticism. Polygenic risk scores (PRS) for SCZ and their association with cognitive variables, neuroticism, mood, and psychological distress were estimated in a large population-based cohort (Generation Scotland: Scottish Family Health Study, GS:SFHS). Individuals were divided into those with, and without, depression (n=2587 & n=16,764 respectively) to test for interactions between MDD status and schizophrenia risk. Replication was sought in UK Biobank (n=6049 & n=27,476 cases and controls respectively). In both cohorts we found significant interactions between SCZ-PRS and MDD status for measures of psychological distress (βGS=-0.04, pGS=0.014 & βUKB=-0.09, pUKB<=0.001 for GS:SFHS, UK biobank respectively) and neuroticism (βGS=-0.04, pGS=0.002 & βUKB=-0.06, pUKB=0.023). In both cohorts there was a reduction of case-control differences on a background of higher genetic risk of SCZ. These findings suggest depression on a background of high genetic risk for SCZ may show attenuated associations with distress and neuroticism. This may represent a causally distinct form of MDD more closely related to SCZ.