Although many genetic association studies have been carried out, it remains unclear which genes contribute to depression. This may be due to heterogeneity of the DSM-IV category of depression. Specific symptom-dimensions provide a more homogenous phenotype. Furthermore, as effects of individual genes are small, analysis of genetic data at the pathway-level provides more power to detect associations and yield valuable biological insight. In 1,398 individuals with a Major Depressive Disorder, the symptom dimensions of the tripartite model of anxiety and depression, General Distress, Anhedonic Depression, and Anxious Arousal, were measured with the Mood and Anxiety Symptoms Questionnaire (30-item Dutch adaptation; MASQ-D30). Association of these symptom dimensions with candidate gene sets and gene sets from two public pathway databases was tested using the Global test. One pathway was associated with General Distress, and concerned molecules expressed in the endoplasmatic reticulum lumen. Seven pathways were associated with Anhedonic Depression. Important themes were neurodevelopment, neurodegeneration, and cytoskeleton. Furthermore, three gene sets associated with Anxious Arousal regarded development, morphology, and genetic recombination. The individual pathways explained up to 1.7% of the variance. These data demonstrate mechanisms that influence the specific dimensions. Moreover, they show the value of using dimensional phenotypes on one hand and gene sets on the other hand. © 2012 Wiley Periodicals, Inc.