Genomic analyses have identified only a handful of robust risk loci for major depressive disorder (MDD). In addition to the published genome-wide significant genes, it is believed that there are undiscovered 'treasures' underlying the current MDD genome-wide association studies (GWASs) and gene expression data sets, and digging into these data will allow better understanding of the illness and development of new therapeutic approaches. For this purpose, we performed a meta-analytic study combining three MDD GWAS data sets (23andMe, CONVERGE, and PGC), and then conducted independent replications of significant loci in two additional samples. The genome-wide significant variants then underwent explorative analyses on MDD-related phenotypes, cognitive function alterations, and gene expression in brains. In the discovery meta-analysis, a previously unidentified single-nucleotide polymorphism (SNP) rs9540720 in the PCDH9 gene was genome-wide significantly associated with MDD (p=1.69 × 10-8 in a total of 89 610 cases and 246 603 controls), and the association was further strengthened when additional replication samples were included (p=1.20 × 10-8 in a total of 136 115 cases and 355 275 controls). The risk SNP was also associated with multiple MDD-related phenotypes and cognitive function impairment in diverse samples. Intriguingly, the risk allele of rs9540720 predicted lower PCDH9 expression, consistent with the diagnostic analysis results that PCDH9 mRNA expression levels in the brain and peripheral blood tissues were reduced in MDD patients compared with healthy controls. These convergent lines of evidence suggest that PCDH9 is likely a novel risk gene for MDD. Our study highlights the necessity and importance of excavating the public data sets to explore risk genes for MDD, and this approach is also applicable to other complex diseases.