Background: The prevalence of depression is higher in individuals suffering from autoimmune diseases, but the mechanisms underlying the observed comorbidities are unknown. Epidemiological findings point to a bi-directional relationship - that depression increases the risk of developing an autoimmune disease, and vice-versa. Shared genetic etiology is a plausible explanation for the overlap between depression and autoimmune diseases. In this study we tested whether genetic variation in the Major Histocompatibility Complex (MHC), which is associated with risk for autoimmune diseases, is also associated with risk for depression. Method: We fine-mapped the classical MHC (chr6: 29.6-33.1 Mb), imputing 216 Human Leukocyte Antigen (HLA) alleles and four Complement Component 4 (C4) haplotypes in studies from the Psychiatric Genomics Consortium (PGC) Major Depressive Disorder (MDD) working group and the UK Biobank (UKB). In the 26 PGC-MDD studies, cases met a lifetime diagnosis of MDD, determined by a structured diagnostic interview. In the UKB, cases and controls were identified from an online mental health questionnaire. The total sample size was 45,149 depression cases and 86,698 controls. We tested for association between depression status and imputed MHC variants in each study and performed an inverse-variance weighted meta-analysis across the PGC-MDD and UKB samples, applying both a conservative region-wide significance threshold (3.9-e6) and a candidate threshold (1.6e-4). Results: No HLA alleles or C4 haplotypes were associated with depression at the conservative threshold in the PGC, UKB or meta-analysis. HLA-B*08:01 was associated with modest protection for depression at the candidate threshold in the meta-analysis. Under the conservative threshold, 70 SNPs were detected in the UKB and 143 SNPs were detected in the meta-analysis, mirroring previous findings from highly powered GWAS of depression. Discussion: We found no evidence that HLA alleles, which play a major role in the genetic susceptibility to autoimmune diseases, or C4 haplotypes, which are strongly associated with schizophrenia, confer risk for depression. These results indicate that autoimmune diseases and depression do not share common risk loci of moderate or large effect in the MHC.