Family and population studies indicate clear heritability of major depressive disorder (MDD), though its underlying biology remains unclear. The majority of single-nucleotide polymorphism (SNP) linkage blocks associated with MDD by genome-wide association studies (GWASes) are believed to alter transcriptional regulators (e.g., enhancers, promoters) based on enrichment of marks correlated with these functions. A key to understanding MDD pathophysiology will be elucidation of which SNPs are functional and how such functional variants biologically converge to elicit the disease. Furthermore, retinoids can elicit MDD in patients and promote depressive-like behaviors in rodent models, acting via a regulatory system of retinoid receptor transcription factors (TFs). We therefore sought to simultaneously identify functional genetic variants and assess retinoid pathway regulation of MDD risk loci. Using Massively Parallel Reporter Assays (MPRAs), we functionally screened over 1000 SNPs prioritized from 39 neuropsychiatric trait/disease GWAS loci, selecting SNPs based on overlap with predicted regulatory features—including expression quantitative trait loci (eQTL) and histone marks—from human brains and cell cultures. We identified >100 SNPs with allelic effects on expression in a retinoid-responsive model system. Functional SNPs were enriched for binding sequences of retinoic acid-receptive transcription factors (TFs), with additional allelic differences unmasked by treatment with all-trans retinoic acid (ATRA). Finally, motifs overrepresented across functional SNPs corresponded to TFs highly specific to serotonergic neurons, suggesting an in vivo site of action. Our application of MPRAs to screen MDD-associated SNPs suggests a shared transcriptional-regulatory program across loci, a component of which is unmasked by retinoids.