The current diagnosis of psychiatric disorders including major depressive disorder based largely on self-reported symptoms and clinical signs may be prone to patients' behaviors and psychiatrists' bias. This study aims at developing an unsupervised machine learning approach for the accurate identification of major depression based on single resting-state functional magnetic resonance imaging scans in the absence of clinical information. Twenty-four medication-naive patients with major depression and 29 demographically similar healthy individuals underwent resting-state functional magnetic resonance imaging. We first clustered the voxels within the perigenual cingulate cortex into two subregions, a subgenual region and a pregenual region, according to their distinct resting-state functional connectivity patterns and showed that a maximum margin clustering-based unsupervised machine learning approach extracted sufficient information from the subgenual cingulate functional connectivity map to differentiate depressed patients from healthy controls with a group-level clustering consistency of 92.5% and an individual-level classification consistency of 92.5%. It was also revealed that the subgenual cingulate functional connectivity network with the highest discriminative power primarily included the ventrolateral and ventromedial prefrontal cortex, superior temporal gyri and limbic areas, indicating that these connections may play critical roles in the pathophysiology of major depression. The current study suggests that subgenual cingulate functional connectivity network signatures may provide promising objective biomarkers for the diagnosis of major depression and that maximum margin clustering-based unsupervised machine learning approaches may have the potential to inform clinical practice and aid in research on psychiatric disorders. Hum Brain Mapp 35:1630–1641, 2014. © 2013 Wiley Periodicals, Inc.