An extensive literature links circadian irregularities and/or sleep abnormalities to mood disorders. Despite the strong genetic component underlying many mood disorders, however, previous genetic associations between circadian clock gene variants and major depressive disorder (MDD) have been weak. We applied a combined molecular/functional and genetic association approach to circadian gene polymorphisms in sex-stratified populations of control subjects and case subjects suffering from MDD. This approach identified significant sex-dependent associations of common variants of the circadian clock genes hClock, hPer3 and hNpas2 with major depression and demonstrated functional effects of these polymorphisms on the expression or activity of the hCLOCK and hPER3 proteins, respectively. In addition, hCLOCK expression is affected by glucocorticoids, consistent with the sex-dependency of the genetic associations and the modulation of glucocorticoid-mediated stress response, providing a mechanism by which the circadian clock controls outputs that may affect psychiatric disorders. We conclude that genetic polymorphisms in circadian genes (especially hClock and hPer3, where functional assays could be tested) influence risk of developing depression in a sex- and stress-dependent manner. These studies support a genetic connection between circadian disruption and mood disorders, and confirm a key connection between circadian gene variation and major depression.