Substance P (SP) has been implicated in major depressive disorder (MDD), with SP antagonists being studied as potential antidepressants. Although impaired neural plasticity is considered a key mechanism in MDD pathophysiology, the association between SP and brain structural changes in depression has not been investigated. We investigated the correlations between SP levels and white matter (WM) integrity in 42 medication-naive patients with MDD and 57 healthy controls (HCs). Plasma levels of SP were determined, and diffusion tensor imaging (DTI) was performed to investigate microstructural changes in WM tracts. In patients, negative correlations between SP levels and fractional anisotropy (FA) values of the forceps minor of the corpus callosum, and positive correlations between SP levels and radial diffusivity (RD) and mean diffusivity (MD) values of the right corticospinal tract (CST) were observed, with no significant correlations in HCs. Linear regression analyses showed SP levels to significantly predict FA values of the forceps minor, and RD and MD values of the right CST in patients, but not in HCs. We consider our findings to contribute to the neurobiological evidence on the association between SP and brain structural changes in depression, which may be related with the pathophysiology and treatment of MDD.