We describe here a large effort to identify DNA sequence variation fundamental to MDD. Although our initial GWAS results for the PCLO region were intriguing, this highly plausible hypothesis did not find support in a large-scale replication attempt. Our hypothesis about a role of genetic variation in PCLO for MDD in population but not clinical settings emphasizes the importance of knowing the epidemiological sampling frame for a study. Finally, we hope that the model we used in this study – a cooperative international effort – will be adopted by groups studying other psychiatric disorders in order to maximize progress.