Background Accurate diagnosis of major depressive disorder (MDD) remains difficult, and one of the key challenges in diagnosing MDD is the lack of reliable diagnostic biomarkers. The objective of this study was to explore gene networks and identify potential biomarkers for MDD. Methods In the present study, we performed a comprehensive analysis of the mRNA expression profiles using blood samples of four patients with MDD and four controls by RNA sequencing. Differentially expressed genes (DEGs) were screened, and functional and pathway enrichment analyses were performed using the Database for Annotation, Visualization, and Integrated Discovery. All DEGs were inputted to the STRING database to build a PPI network, and the top 10 hub genes were screened using the cytoHubba plugin of the Cytoscape software. The relative expression of 10 key genes was identified by quantitative real-time polymerase chain reaction (qRT-PCR) of blood samples from 50 MDD patients and 50 controls. Plasma levels of SQSTM1 and TNF[alpha] were measured using an enzyme-linked immunosorbent assay in blood samples of 44 MDD patients and 44 controls. A sucrose preference test was used to evaluate depression-like behavior in chronic unpredictable mild stress (CUMS) model rats. Immunofluorescence assay and western blotting were performed to study the expression of proteins in the brain samples of CUMS model rats Results We identified 247 DEGs that were closely associated with MDD. Gene ontology analyses suggested that the DEGs were mainly enriched in negative regulation of transcription by RNA polymerase II promoter, cytoplasm, and protein binding. Moreover, Kyoto Encyclopedia of Genes and Genomes pathway analysis suggested that the DEGs were significantly enriched in the MAPK signaling pathway. Ten hub genes were screened through the PPI network, and qRT-PCR assay revealed that one and six genes were downregulated and upregulated, respectively; however, SMARCA2, PPP3CB, and RAB5C were not detected. Pathway enrichment analysis for the 10 genes showed that the mTOR signaling pathway was also enriched. A strong positive correlation was observed between SQSTM1 and TNF[alpha] protein levels in patients with MDD. LC3 II and SQSTM1 protein levels were increased in the CUMS rat model; however, p-mTOR protein levels were decreased. The sucrose preference values decreased in the CUMS rat model. Conclusions We identified 247 DEGs and constructed an MDD-specific network; thereafter, 10 hub genes were selected for further analysis. Our results provide novel insights into the pathogenesis of MDD. Moreover, SQSTM1, which is related to autophagy and inflammatory reactions, may play a key role in MDD. SQSTM1 may be used as a promising therapeutic target in MDD; additionally, more molecular mechanisms have been suggested that should be focused on in future in vivo and in vitro studies.