The hypothalamus, which consists of histologically and functionally distinct subunits, primarily modulates vegetative symptoms in major depressive disorder (MDD). Sex differences in MDD have been well-documented in terms of illness incidence rates and symptom profiles. However, few studies have explored subunit-level and sex-specific anatomic differences in the hypothalamus in MDD compared to healthy controls (HCs). High-resolution 3D T1-weighted images were obtained from 133 treatment-naïve patients with MDD and 130 age-, sex-, education years-, and handedness-matched HCs. MRI data were preprocessed and segmented into ten bilateral hypothalamic subunits with FreeSurfer software. We tested for both common and sex-specific patterns of hypothalamic anatomic differences in MDD. Regardless of sex, patients with MDD showed significantly smaller volumes in the left anterior-inferior subunit (a-iHyp) and larger volumes in the right posterior subunit (posHyp). The volumes of the left a-iHyp were negatively correlated with sleep disturbance scores in the MDD group. A significant sex-by-diagnosis interaction was observed in the right whole hypothalamus, and subsequent post-hoc analyses revealed that males with MDD showed significantly larger volumes, while females with MDD showed significantly smaller volumes relative to their sex-matched HCs. Common differences in MDD were found in the left anterior-inferior and right posterior hypothalamus that are involved in regulating circadian rhythms and reward, while sex-specific differences in MDD were observed in the right whole hypothalamus. These findings enhance our understanding of distinct hypothalamic subunit related to MDD and shed light on the neurobiology underlying sex-related variations in MDD.