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Major depressive disorder (MDD) is the most prevalent psychiatric disorder worldwide and affects individuals of all ages. It causes significant psychosocial impairments and is a major cause of disability. A recent consortium study identified 102 genetic variants and 269 genes associated with depression. To provide targets for future depression research, we prioritized these recently identified genes using expression data. We examined the differential expression of these genes in three studies that profiled gene expression of MDD cases and controls across multiple brain regions. In addition, we integrated anatomical expression information to determine which brain regions and transcriptomic cell types highly express the candidate genes. We highlight 12 of the 269 genes with the most consistent differential expression: MANEA, UBE2M, CKB, ITPR3, SPRY2, SAMD5, TMEM106B, ZC3H7B, LST1, ASXL3, ZNF184 and HSPA1A. The majority of these top genes were found to have sex-specific differential expression. We place greater emphasis on ZNF184 as it is the top gene in a more conservative analysis of the 269. Specifically, the differential expression of ZNF184 was strongest in subcortical regions in males and females. Anatomically, our results suggest the importance of the dorsal lateral geniculate nucleus, cholinergic, monoaminergic and enteric neurons. These findings provide a guide for targeted experiments to advance our understanding of the genetic underpinnings of depression.