Abstract Objective Major depressive disorder (MDD) arises from a combination of genetic and environmental risk factors and DNA methylation is one of the molecular mechanisms through which these factors can manifest. However, little is known about the epigenetic signature of MDD in brain tissue. This study aimed to investigate associations between brain tissue-based DNA methylation and late-life MDD. Methods We performed a brain epigenome-wide association study (EWAS) of late-life MDD in 608 participants from the Religious Order Study and the Rush Memory and Aging Project (ROS/MAP) using DNA methylation profiles of the dorsal lateral prefrontal cortex generated using the Illumina HumanMethylation450 Beadchip array. We also conducted an EWAS of MDD in each sex separately. Results We found epigenome-wide significant associations between brain tissue-based DNA methylation and late-life MDD. The most significant and robust association was found with altered methylation levels in the YOD1 locus (cg25594636, p value = 2.55 × 10⁻¹¹; cg03899372, p value = 3.12 × 10⁻⁰⁹; cg12796440, p value = 1.51 × 10⁻⁰⁸, cg23982678, p value = 7.94 × 10⁻⁰⁸). Analysis of differentially methylated regions (p value = 5.06 × 10⁻¹⁰) further confirmed this locus. Other significant loci include UGT8 (cg18921206, p value = 1.75 × 10⁻⁰⁸), FNDC3B (cg20367479, p value = 4.97 × 10⁻⁰⁸) and SLIT2 (cg10946669, p value = 8.01 × 10⁻⁰⁸). Notably, brain tissue-based methylation levels were strongly associated with late-life MDD in men more than in women. Conclusions We identified altered methylation in the YOD1, UGT8, FNDC3B, and SLIT2 loci as new epigenetic factors associated with late-life MDD. Furthermore, our study highlights the sex-specific molecular heterogeneity of MDD.