Heritability of major depressive disorder (MDD) is between 36 and 44%, suggesting that up to nearly half of the phenotypic variability is attributable to genes. A number of genetic polymorphisms have been shown to predispose certain individuals to depression. Of particular interest are the polymorphisms of the vitamin D receptor (VDR) gene. Although the VDR gene has been well characterized and a vast number of polymorphisms have been identified, the association between BsmI (rs1544410), ApaI (rs7975232) and TaqI (rs731236) single-nucleotide polymorphisms (SNPs), together with their haplotypes, and MDD risk have yet to be established. We conducted a matched case-control study with a total of 600 participants comprising 300 major depressive disorder (MDD) cases and 300 controls matched by age, gender and ethnicity in a 1:1 ratio, in four public hospitals in Kuala Lumpur and Selangor. Three adjacent SNPs of the VDR gene-BsmI (rs1544410), ApaI (rs7975232) and TaqI (rs731236)-were genotyped using polymerase chain reaction-restriction fragment length polymorphism (PCR-RFLP). Odds ratios and 95% confidence intervals (CIs) were obtained from conditional logistic regression using Stata 16. Linkage disequilibrium and haplotype association with MDD were analyzed using the online SNPStats program. None of the genotypes of the three SNPs was significantly associated with risk of developing MDD after adjusting for confounding factors. However, the TAC (BAt) haplotype was associated with increased odds of MDD (adjusted OR = 2.17, 95% CI = 1.30-3.61, p = 0.003) using CCT (baT) as reference haplotype. The findings suggest that the BsmI-ApaI-TaqI TAC (BAt) haplotype of the VDR gene increases susceptibility to MDD.