Previous MRI studies confirmed abnormalities in the limbic-cortical-striatal-pallidal-thalamic (LCSPT) network or limbic-cortico-striatal-thalamic-cortical (LCSTC) circuits in patients with major depressive disorder (MDD), but few studies have investigated the subcortical structural abnormalities. Therefore, we sought to determine whether focal subcortical grey matter (GM) changes might be present in MDD at an early stage. We recruited 30 first episode, untreated patients with major depressive disorder (MDD) and 26 healthy control subjects. Voxel-based morphometry was used to evaluate cortical grey matter changes, and automated volumetric and shape analyses were used to assess volume and shape changes of the subcortical GM structures, respectively. In addition, probabilistic tractography methods were used to demonstrate the relationship between the subcortical and the cortical GM. Compared to healthy controls, MDD patients had significant volume reductions in the bilateral putamen and left thalamus (FWE-corrected, p < 0.05). Meanwhile, the vertex-based shape analysis showed regionally contracted areas on the dorsolateral and ventromedial aspects of the bilateral putamen, and on the dorsal and ventral aspects of left thalamus in MDD patients (FWE-corrected, p < 0.05). Additionally, a negative correlation was found between local atrophy in the dorsal aspects of the left thalamus and clinical variables representing severity. Furthermore, probabilistic tractography demonstrated that the area of shape deformation of the bilateral putamen and left thalamus have connections with the frontal and temporal lobes, which were found to be related to major depression. Our results suggested that structural abnormalities in the putamen and thalamus might be present in the early stages of MDD, which support the role of subcortical structure in the pathophysiology of MDD. Meanwhile, the present study showed that these subcortical structural abnormalities might be the potential trait markers of MDD.