Women are more vulnerable to major depressive disorder (MDD) than men. However, molecular biomarkers of sex differences are limited. Here we combined gas chromatography-mass spectrometry (GC-MS)- and nuclear magnetic resonance (NMR)-based metabonomics to investigate sex differences of urinary metabolite markers in MDD, and further explore their potential of diagnosing MDD. Consequently, the metabolite signatures of women and men MDD subjects were significantly different from of that in their respective healthy controls (HCs). Twenty seven women and 36 men related differentially expressed metabolites were identified in MDD. Fourteen metabolites were changed in both women and men MDD subjects. Significantly, the women-specific (m-Hydroxyphenylacetate, malonate, glycolate, hypoxanthine, isobutyrate and azelaic acid) and men-specific (tyrosine, N-acetyl-d-glucosamine, N-methylnicotinamide, indoxyl sulfate, citrate and succinate) marker panels were further identified, which could differentiate men and women MDD patients from their respective HCs with higher accuracy than previously reported sex-nonspecific marker panels. Our findings demonstrate that men and women MDD patients have distinct metabonomic signatures and sex-specific biomarkers have promising values in diagnosing MDD.