Telomere shortening is observed in peripheral mononuclear cells from patients with major depressive disorder (MDD). Whether this finding and its biological causes impact the health of the brain in MDD is unknown. Brain cells have differing vulnerabilities to biological mechanisms known to play a role in accelerating telomere shortening. Here, two glia cell populations (oligodendrocytes and astrocytes) known to have different vulnerabilities to a key mediator of telomere shortening, oxidative stress, were studied. The two cell populations were separately collected by laser capture micro-dissection of two white matter regions shown previously to demonstrate pathology in MDD patients. Cells were collected from brain donors with MDD at the time of death and age-matched psychiatrically normal control donors (N = 12 donor pairs). Relative telomere lengths in white matter oligodendrocytes, but not astrocytes, from both brain regions were significantly shorter for MDD donors as compared to matched control donors. Gene expression levels of telomerase reverse transcriptase were significantly lower in white matter oligodendrocytes from MDD as compared to control donors. Likewise, the gene expression of oxidative defence enzymes superoxide dismutases (SOD1 and SOD2), catalase (CAT) and glutathione peroxidase (GPX1) were significantly lower in oligodendrocytes from MDD as compared to control donors. No such gene expression changes were observed in astrocytes from MDD donors. These findings suggest that attenuated oxidative stress defence and deficient telomerase contribute to telomere shortening in oligodendrocytes in MDD, and suggest an aetiological link between telomere shortening and white matter abnormalities previously described in MDD.