Disrupted synaptic plasticity is the hallmark of major depressive disorder (MDD), with accompanying changes at the molecular and cellular levels. Often, the maladaptive molecular changes at the synapse are the result of global transcriptional reprogramming dictated by activity-dependent synaptic modulation. Thus far, no study has directly studied the transcriptome-wide expression changes locally at the synapse in MDD brain. Here, we have examined altered synaptic transcriptomics and their functional relevance in MDD with a focus on the dorsolateral prefrontal cortex (dlPFC). RNA was isolated from total fraction and purified synaptosomes of dlPFC from well-matched 15 non-psychiatric controls and 15 MDD subjects. Transcriptomic changes in synaptic and total fractions were detected by next-generation RNA-sequencing (NGS) and analyzed independently. The ratio of synaptic/total fraction was estimated to evaluate a shift in gene expression ratio in MDD subjects. Bioinformatics and network analyses were used to determine the biological relevance of transcriptomic changes in both total and synaptic fractions based on gene–gene network, gene ontology (GO), and pathway prediction algorithms. A total of 14,005 genes were detected in total fraction. A total of 104 genes were differentially regulated (73 upregulated and 31 downregulated) in MDD group based on 1.3-fold change threshold and p < 0.05 criteria. In synaptosomes, out of 13,236 detectable genes, 234 were upregulated and 60 were downregulated (>1.3-fold, p < 0.05). Several of these altered genes were validated independently by a quantitative polymerase chain reaction (qPCR). GO revealed an association with immune system processes and cell death. Moreover, a cluster of genes belonged to the nervous system development, and psychological disorders were discovered using gene–gene network analysis. The ratio of synaptic/total fraction showed a shift in expression of 119 genes in MDD subjects, which were primarily associated with neuroinflammation, interleukin signaling, and cell death. Our results suggest not only large-scale gene expression changes in synaptosomes, but also a shift in the expression of genes from total to synaptic fractions of dlPFC of MDD subjects with their potential role in immunomodulation and cell death. Our findings provide new insights into the understanding of transcriptomic regulation at the synapse and their possible role in MDD pathogenesis.