MicroRNAs are potent regulators of gene expression networks and are believed to play an important role in the pathogenesis of various psychiatric disorders. In this study, we examine the association of microRNA expression with diagnoses of major depressive disorder (MDD), as well as the Beck Depression Inventory (BDI), a relevant endophenotype for the condition. As part of the Genetics of Brain Structure and Function (GOBS) study, we employed next-generation sequencing technology to assay global microRNA expression (n = 1,733) in lymphocyte-based samples for 688 Mexican-Americans derived from large families, for which extensive neurocognitive data has been collected. In addition, microRNA expression was measured in 44 deceased subjects (including 12 diagnosed with MDD) for two brain regions implicated in depression, the dorsolateral prefrontal cortex (BA9) and the anterior cingulate (BA24). For the GOBS samples, various microRNAs show association to MDD at uncorrected P-values less than 0.05, with the strongest result observed for hsa-miR-200b (P = 2.91x10-4). Several microRNAs were found to be nominally associated with both MDD and BDI, a measure that is highly heritable (h2 = 0.35; P = 2x10-6) with a strong genotypic correlation to MDD (rg = 0.59; P = 0.0081), including hsa-let-7e (P = 0.045 and 0.029), hsa-miR-29c* (P = 0.025 and 0.036) and hsa-miR-378* (P = 0.006 and 0.031). Similarly for the brain tissue samples, none of the microRNA associations to MDD withstood multiple-testing correction, however hsa-miR-3158-3p exhibits nominal significance across both brain regions (P = 0.039 and 0.049), as well as in the GOBS data for BDI (P = 0.024). Interestingly, the top hit in a recent study that examined microRNA expression in the prefrontal cortex of depressed suicide subjects, hsa-miR-142-5p, shows evidence for association to MDD in our brain tissue samples (P = 0.027).