Major depressive disorder (MDD) is a heritable and highly debilitating condition. It is commonly associated with subcortical volumetric abnormalities, the most replicated of these being reduced hippocampal volume. Using the most recent published data from Enhancing Neuroimaging Genetics through Meta-analysis (ENIGMA) consortium’s genome-wide association study (GWAS) of regional brain volume, we sought to test whether there is shared genetic architecture between 7 subcortical brain volumes and intracranial volume (ICV) and MDD. We explored this using linkage disequilibrium (LD) score regression, polygenic risk scoring (PRS) techniques, Mendelian randomisation (MR) analysis and BUHMBOX. Utilising summary statistics from ENIGMA and Psychiatric Genomics Consortium (PGC), we demonstrated that hippocampal volume was positively genetically correlated with MDD (rG=0.46, P=0.02), although this did not survive multiple comparison testing. None of the other six brain regions studied were genetically correlated and amygdala volume heritability was too low for analysis. Using PRS analysis, no regional volumetric PRS demonstrated significant association with MDD or recurrent MDD. MR analysis in hippocampal volume and MDD identified no causal association, however, BUHMBOX analysis identified genetic subgrouping in GS:SFHS MDD cases only (P=0.00281). In this study we provide some evidence that hippocampal volume and MDD may share genetic architecture in a subgroup of individuals, albeit the genetic correlation did not survive multiple testing correction and genetic subgroup heterogeneity was not replicated. In contrast, we found no evidence to support a shared genetic architecture between MDD and other regional subcortical volumes or ICV.