Alterations in white matter (WM) microstructure have been implicated in the pathophysiology of major depressive disorder (MDD). However, previous findings have been inconsistent, partially due to low statistical power and the heterogeneity of depression. In the largest multi-site study to date, we examined WM anisotropy and diffusivity in 1305 MDD patients and 1602 healthy controls (age range 12–88 years) from 20 samples worldwide, which included both adults and adolescents, within the MDD Working Group of the Enhancing Neuroimaging Genetics through Meta-Analysis (ENIGMA) consortium. Processing of diffusion tensor imaging (DTI) data and statistical analyses were harmonized across sites and effects were meta-analyzed across studies. We observed subtle, but widespread, lower fractional anisotropy (FA) in adult MDD patients compared with controls in 16 out of 25 WM tracts of interest (Cohen’s d between 0.12 and 0.26). The largest differences were observed in the corpus callosum and corona radiata. Widespread higher radial diffusivity (RD) was also observed (all Cohen’s d between 0.12 and 0.18). Findings appeared to be driven by patients with recurrent MDD and an adult age of onset of depression. White matter microstructural differences in a smaller sample of adolescent MDD patients and controls did not survive correction for multiple testing. In this coordinated and harmonized multisite DTI study, we showed subtle, but widespread differences in WM microstructure in adult MDD, which may suggest structural disconnectivity in MDD.