Aiming at a more comprehensive understanding of the molecular biomarkers and potential mechanisms of major depressive disorder (MDD), from the Gene Expression Omnibus (GEO) database, we first obtained mRNA expression profiles and identified 585 differentially expressed genes (DEGs) through the R software, including 263 upregulated genes and 322 downregulated genes. Then, through the Kyoto Encyclopedia of Genome and Genome (KEGG) pathway and biological process (BP) analysis, we found that the upregulated and downregulated DEGs were abundant in different pathways, respectively. It was noteworthy that upregulated DEGs were the most significantly enriched in the mTOR signaling pathway. Subsequently, through the protein-protein interaction (PPI) network, we identified seven hub genes, namely, EXOSC2, CAMK2A, PRIM1, SMC4, TYMS, CDK6, and RPA2. Finally, through gene set enrichment analysis (GSEA), we obtained that hypoxia, epithelial-mesenchymal transition, hedgehog signaling, and reactive oxygen species pathway were the enriched pathways for MDD patients. The above data results would provide a new direction for the treatment of MDD patients.