Most genome-wide association studies (GWAS) of major depression (MD) have been conducted in samples of European ancestry. Here we report a multi-ancestry GWAS of MD, adding data from 21 cohorts with 88,316 MD cases and 902,757 controls to previously reported data. This analysis used a range of measures to define MD and included samples of African (36% of effective sample size), East Asian (26%) and South Asian (6%) ancestry and Hispanic/Latin American participants (32%). The multi-ancestry GWAS identified 53 significantly associated novel loci. For loci from GWAS in European ancestry samples, fewer than expected were transferable to other ancestry groups. Fine mapping benefited from additional sample diversity. A transcriptome-wide association study identified 205 significantly associated novel genes. These findings suggest that, for MD, increasing ancestral and global diversity in genetic studies may be particularly important to ensure discovery of core genes and inform about transferability of findings.