Major depressive disorder (MDD) is associated with reductions in white matter microstructural integrity as measured by fractional anisotropy (FA), an index derived from diffusion tensor imaging (DTI). The neurotropic herpesvirus, human cytomegalovirus (HCMV), is a major cause of white matter pathology in immunosuppressed populations but its relationship with FA has never been tested in MDD despite the presence of inflammation and weakened antiviral immunity in a subset of depressed patients. We tested the relationship between FA and HCMV infection in two independent samples consisting of 176 individuals with MDD and 44 healthy controls (HC) (Discovery sample) and 88 participants with MDD and 48 HCs (Replication sample). Equal numbers of HCMV positive (HCMV+) and HCMV negative (HCMV−) groups within each sample were balanced on ten different clinical/demographic variables using propensity score matching. Anti-HCMV IgG antibodies were measured using a solid-phase ELISA. In the Discovery sample, significantly lower FA was observed in the right inferior fronto-occipital fasciculus (IFOF) in HCMV+ participants with MDD compared to HCMV− participants with MDD (cluster size 1316 mm3; pFWE < 0.05, d = −0.58). This association was confirmed in the replication sample by extracting the mean FA from this exact cluster and applying the identical statistical model (p < 0.05, d = −0.45). There was no significant effect of diagnosis or interaction between diagnosis and HCMV in either sample. The effect of chronic HCMV infection on white matter integrity may—in at-risk individuals—contribute to the psychopathology of depression. These findings may provide a novel target of intervention for a subgroup of patients with MDD.