Genome-wide association studies (GWAS) were conducted in participants of the CO-MED (Combining Medications to Enhance Depression Outcomes) trial, a randomized, 3-treatment arm clinical trial of major depressive disorder (MDD) designed to identify markers of differential treatment outcome (response and remission). The QIDS-SR (Quick Inventory of Depressive Symptomatology, Self-Reported version) was used to measure response at week 6 (QIDS-SR ≤5) and remission at week 12 (QIDS-SR ≤6 and ≤8 at the last two study visits). Three treatment groups (escitalopram monotherapy, escitalopram + bupropion, and venlafaxine + mirtazapine) were evaluated. GWAS identified a potentially regulatory SNP rs10769025 in the ALX4 gene on chromosome 11 with a strong association (<i>p</i> value = 9.85925E–08) with response to escitalopram monotherapy in Caucasians. Further, haplotype analysis on 7 ALX4 variants showed that a regulatory haplotype CAAACTG was significantly associated (odds ratio = 3.4, <i>p</i> = 2.00E–04) with response to escitalopram monotherapy at week 6. Ingenuity pathway analyses in the present study suggest that ALX4 has an indirect connection with antidepressant gene pathways in MDD, which may account for the genetic association with treatment outcome. Functional genomics studies to investigate the role of ALX4 in antidepressant treatment outcome will be an interesting future direction.