Genome-wide association studies (GWAS) have reported substantial single-nucleotide polymorphisms (SNPs) associated with major depressive disorder (MDD), but the underlying functional variations in the GWAS risk loci are unclear. Here we show that the European MDD genome-wide risk-associated allele of rs12129573 at 1p31.1 is associated with MDD in Han Chinese, and this SNP is in strong linkage disequilibrium (LD) with a human-unique Alu insertion polymorphism (rs70959274) in the 5' flanking region of a long non-coding RNA (lncRNA) LINC01360 (Long Intergenic Non-Protein Coding RNA 1360), which is preferably expressed in human testis in the currently available expression datasets. The risk allele at rs12129573 is almost completely linked with the absence of this Alu insertion. The Alu insertion polymorphism (rs70959274) is significantly associated with a lower RNA level of LINC01360 and acts as a transcription silencer likely through modulating the methylation of its internal CpG sites. Luciferase assays confirm that the presence of Alu insertion at rs70959274 suppresses transcriptional activities in human cells, and deletion of the Alu insertion through CRISPR/Cas9-directed genome editing increases RNA expression of LINC01360. Deletion of the Alu insertion in human cells also leads to dysregulation of gene expression, biological processes and pathways relevant to MDD, such as the alterations of mRNA levels of DRD2 and FLOT1, transcription of genes involved in synaptic transmission, neurogenesis, learning or memory, and the PI3K-Akt signaling pathway. In summary, we identify a human-unique DNA repetitive polymorphism in robust LD with the MDD risk-associated SNP at the prominent 1p31.1 GWAS loci, and offer insights into the molecular basis of the illness.