Large, rare copy number variants (CNVs) have been implicated in a variety of psychiatric disorders, but the role of CNVs in recurrent depression is unclear. We performed a genome-wide analysis of large, rare CNVs in 3106 cases of recurrent depression, 459 controls screened for lifetime-absence of psychiatric disorder and 5619 unscreened controls from phase 2 of the Wellcome Trust Case Control Consortium (WTCCC2). We compared the frequency of cases with CNVs against the frequency observed in each control group, analysing CNVs over the whole genome, genic, intergenic, intronic and exonic regions. We found that deletion CNVs were associated with recurrent depression, whereas duplications were not. The effect was significant when comparing cases with WTCCC2 controls (P=7.7 × 10 -6, odds ratio (OR) =1.25 (95% confidence interval (CI) 1.13-1.37)) and to screened controls (P=5.6 × 10 -4, OR=1.52 (95% CI 1.20-1.93). Further analysis showed that CNVs deleting protein coding regions were largely responsible for the association. Within an analysis of regions previously implicated in schizophrenia, we found an overall enrichment of CNVs in our cases when compared with screened controls (P=0.019). We observe an ordered increase of samples with deletion CNVs, with the lowest proportion seen in screened controls, the next highest in unscreened controls and the highest in cases. This may suggest that the absence of deletion CNVs, especially in genes, is associated with resilience to recurrent depression.