Studies in post-mortem human brain tissue have associated major depressive disorder (MDD) with cortical transcriptomic changes, whose potential in vivo impact remains unexplored. To address this translational gap, we recently developed a transcriptome-based polygenic risk score (T-PRS) based on common functional variants capturing 'depression-like' shifts in cortical gene expression. Here, we used a non-clinical sample of young adults (n = 482, Duke Neurogenetics Study: 53% women; aged 19.8 ± 1.2 years) to map T-PRS onto brain morphology measures, including Freesurfer-derived subcortical volume, cortical thickness, surface area, and local gyrification index, as well as broad MDD risk, indexed by self-reported family history of depression. We conducted side-by-side comparisons with a PRS independently derived from a Psychiatric Genomics Consortium (PGC) MDD GWAS (PGC-PRS), and sought to link T-PRS with diagnosis and symptom severity directly in PGC-MDD participants (n = 29,340, 59% women; 12,923 MDD cases, 16,417 controls). T-PRS was associated with smaller amygdala volume in women (t = -3.478, p = 0.001) and lower prefrontal gyrification across sexes. In men, T-PRS was associated with hypergyrification in temporal and occipital regions. Prefrontal hypogyrification mediated a male-specific indirect link between T-PRS and familial depression (b = 0.005, p = 0.029). PGC-PRS was similarly associated with lower amygdala volume and cortical gyrification; however, both effects were male-specific and hypogyrification emerged in distinct parietal and temporo-occipital regions, unassociated with familial depression. In PGC-MDD, T-PRS did not predict diagnosis (OR = 1.007, 95% CI = [0.997-1.018]) but correlated with symptom severity in men (rho = 0.175, p = 7.957 × 10-4) in one cohort (N = 762, 48% men). Depression-like shifts in cortical gene expression have sex-specific effects on brain morphology and may contribute to broad depression vulnerability in men.