Objective We examined brain volume and atrophy in individuals with major depressive disorder (MDD) without dementia that were referred to a large autopsy service. We also examined potential risk factors for brain atrophy, including demographics and clinical variables. Methods In this study, 1373 participants (787 male) aged 50 years or older who died from natural causes were included. Participants with no reliable informant, with cognitive impairment or dementia, with a medical history of severe chronic disease, or with prolonged agonal state were excluded. Presence of MDD at least once in their lifetime was defined according to the Structured Clinical Interview for DSM. Brain volume was measured immediately after removal from the skull. Results Mean age at death was 68.6 ± 11.6, and MDD was present in 185 (14%) individuals. Smaller brain volume was associated with older age (p < 0.001), lower education (years; p < 0.001), hypertension (p = 0.001), diabetes (p = 0.006), and female gender (p < 0.001). In the multivariate analysis adjusted for sociodemographics and cardiovascular risk factors, smaller brain volume was not associated with major depression (β = −0.86, 95% CI = −26.50 to 24.77, p = 0.95). Conclusions In this large autopsy study of older adults, MDD was not associated with smaller brain volumes. Regardless of the presence of MDD, in this sample of older adults without dementia, we found that smaller brain volumes were associated with risk factors for brain neurodegeneration such as older age, diabetes, hypertension, and lower education. Copyright © 2017 John Wiley & Sons, Ltd.