Depression is a common condition, but current treatments are only effective in a subset of individuals. To identify new treatment targets, we integrated depression genome-wide association study (GWAS) results (N = 500,199) with human brain proteomes (N = 376) to perform a proteome-wide association study of depression followed by Mendelian randomization. We identified 19 genes that were consistent with being causal in depression, acting via their respective cis-regulated brain protein abundance. We replicated nine of these genes using an independent depression GWAS (N = 307,353) and another human brain proteomic dataset (N = 152). Eleven of the 19 genes also had cis-regulated mRNA levels that were associated with depression, based on integration of the depression GWAS with human brain transcriptomes (N = 888). Meta-analysis of the discovery and replication proteome-wide association study analyses identified 25 brain proteins consistent with being causal in depression, 20 of which were not previously implicated in depression by GWAS. Together, these findings provide promising brain protein targets for further mechanistic and therapeutic studies.