Major depressive disorder (MDD) has an enormous impact on global disease burden, affecting millions of people worldwide and ranking as a leading cause of disability for almost three decades. Past molecular studies of MDD employed bulk homogenates of postmortem brain tissue, which obscures gene expression changes within individual cell types. Here we used single-nucleus transcriptomics to examine ~80,000 nuclei from the dorsolateral prefrontal cortex of male individuals with MDD (n = 17) and of healthy controls (n = 17). We identified 26 cellular clusters, and over 60% of these showed differential gene expression between groups. We found that the greatest dysregulation occurred in deep layer excitatory neurons and immature oligodendrocyte precursor cells (OPCs), and these contributed almost half (47%) of all changes in gene expression. These results highlight the importance of dissecting cell-type-specific contributions to the disease and offer opportunities to identify new avenues of research and novel targets for treatment.