Previous studies in small samples have identified inconsistent cortical abnormalities in major depressive disorder (MDD). Despite genetic influences on MDD and the brain, it is unclear how genetic risk for MDD is translated into spatially patterned cortical vulnerability. Here, we initially examined voxel-wise differences in cortical function and structure using the largest multi-modal MRI data from 1660 MDD patients and 1341 controls. Combined with the Allen Human Brain Atlas, we then adopted transcription-neuroimaging spatial correlation and the newly developed ensemble-based gene category enrichment analysis to identify gene categories with expression related to cortical changes in MDD. Results showed that patients had relatively circumscribed impairments in local functional properties and broadly distributed disruptions in global functional connectivity, consistently characterized by hyper-function in associative areas and hypo-function in primary regions. Moreover, the local functional alterations were correlated with genes enriched for biological functions related to MDD in general (e.g., endoplasmic reticulum stress, mitogen-activated protein kinase, histone acetylation, and DNA methylation); and the global functional connectivity changes were associated with not only MDD-general, but also brain-relevant genes (e.g., neuron, synapse, axon, glial cell, and neurotransmitters). Our findings may provide important insights into the transcriptomic signatures of regional cortical vulnerability to MDD. Our combined large-scale neuroimaging and brain transcriptome study demonstrates genetic substrates underlying cortical functional abnormalities in depression, suggesting transcriptomic decoding of regional cortical vulnerability to depression.