The catechol-o-methyltransferase (COMT) gene has been extensively investigated in depression with somewhat contradictory results but the role of impulsivity, as a possible intermediate phenotype in this disorder, has not been considered yet. In our study, four tagging SNPs in the COMT gene (rs933271, rs740603, rs4680, rs4646316) were genotyped in two independent population cohorts: Manchester (n = 1267) and Budapest (n = 942). First, we investigated the association between COMT genotypes, impulsivity, neuroticism and depression using haplotype trend regression, and constructed a model using structural equation modeling to investigate the interaction between these factors. Secondly, we tested the effect of executive function on this model in a smaller interviewed sample (n = 207). Our results demonstrated that COMT haplotypes were significantly associated with impulsivity in the combined cohort, showing the same direction of effects in both populations. The COMT effect on depressive symptoms (in subjects without history of depression) and on executive function (interviewed sample) showed the opposite pattern to impulsivity. Structural equation models demonstrated that COMT and impulsivity acted, both together (through neuroticism) and independently, to increase the risk of depression. In addition, better executive function also operated as a risk factor for depression, possibly though reduced ability to flexibly disengage negative emotions. In conclusion, variations in the COMT gene exert complex effects on susceptibility to depression involving various intermediate phenotypes, such as impulsivity and executive function. These findings emphasise that modeling of disease pathways at phenotypic level are valuable for identifying genetic risk factors. © 2012 Wiley Periodicals, Inc.