Previous structural imaging studies have found evidence of brain morphometric changes in patients with major depressive disorder (MDD), but these studies rarely excluded compounding effects of certain important factors, such as medications and long duration of illnesses. Furthermore, the neurobiological mechanism of the macroscopic findings of structural alterations in MDD patients remains unclear. In this study, we utilized magnetization transfer imaging, a quantitative measure of the macromolecular structural integrity of brain tissue, to identify biophysical alterations, which are represented by a magnetization transfer ratio (MTR), in MDD patients. To ascertain whether MTR changes occur independent of volume loss, we also conduct voxel-based morphometry (VBM) analysis. The participants included 27 first-episode, drug-naive MDD patients and 28 healthy controls matched for age and gender. Whole-brain voxel-based analysis was used to compare MTR and gray matter volume across groups and to analyse correlations between MTR and age, symptom severity, and illness duration. The patients exhibited significantly lower MTR in the left superior parietal lobule and left middle occipital gyrus compared with healthy controls, which may be related to the attentional and cognitive dysfunction in MDD patients. The VBM analysis revealed significantly increased gray matter volume in right postcentral gyrus in MDD patients. These findings in first-episode, drug-naive MDD patients may reflect microstructural gray matter changes in the parietal and occipital cortices close to illness onset that existed before volume loss, and thus potentially provide important new insight into the early neurobiology of depression.