Previous studies revealed several alterations of the cerebral white matter in patients with major depressive disorder. However, it is unknown if these alterations are associated with vascular changes in the brain and other body parts. We compared diffusion tensor imaging derived fractional anisotropy in a well characterized sample of middle-aged patients with major depressive disorder (n = 290) and never-depressed controls (n = 346) by the method of tract-based spatial statistics. Subsequently, the potential role of pulse wave velocity as a mediator of depression- and age-related changes in extracted estimates of fractional anisotropy were analyzed. The results of the tract-based analysis revealed significantly reduced fractional anisotropy in the left posterior thalamic radiation associated with depression. Analyses of extracted data indicated additional reductions of fractional anisotropy bilaterally in the posterior thalamic radiation and in the left sagittal stratum. The analyses of indirect effects did not show any significant mediation of depression-related effects on fractional anisotropy via pulse wave velocity. However, age-related effects on fractional anisotropy were partially mediated by pulse wave velocity. In conclusion, major depressive disorder is associated with detrimental effects on cerebral white matter microstructure properties which are independent of vascular changes, as measured by pulse wave velocity. However, a portion of age-related detrimental effects on white matter is explained by vascular changes. Longitudinal studies are required for investigating changes in white matter and vascular parameters over time and their association with incident depression.