Background Major depressive disorder (MDD) is a leading cause of global disability, yet current diagnostic approaches often rely on subjective assessments and lack the ability to integrate multimodal clinical information. Large language models (LLMs) hold promise for enhancing diagnostic accuracy through advanced reasoning but face challenges in interpretability, hallucination, and reliance on synthetic data. Methods We developed MDD-Thinker, an LLM-based diagnostic framework that integrates supervised fine-tuning (SFT) with reinforcement learning (RL) to strengthen reasoning ability and interpretability. Using the UK Biobank dataset, we generated 40,000 reasoning samples, supplemented with 10,000 samples from publicly available mental health datasets. The model was fine-tuned on these reasoning corpora, and its diagnostic and reasoning performance was evaluated against machine learning, deep learning, and state-of-the-art LLM baselines. Findings MDD-Thinker achieved an accuracy of 0.8268 and F1-score of 0.8081, significantly outperforming traditional baselines such as SVM and MLP, as well as general-purpose LLMs. Incorporating both SFT and RL yielded the greatest improvements, with relative gains of 29.0% in accuracy, 38.1% in F1-score, and 34.8% in AUC. Moreover, the model demonstrated comparable reasoning performance compared to much larger LLMs, while maintaining computational efficiency. Interpretation This study presents the first reasoning-enhanced LLM framework for MDD diagnosis trained on large-scale real-world clinical data. By integrating SFT and RL, MDD-Thinker balances accuracy, interpretability, and efficiency, offering a scalable approach for intelligent psychiatric diagnostics. These findings suggest that reasoning-oriented LLMs can provide clinically reliable support for MDD detection and may inform broader applications in mental health care.
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