Background Radiomics is an emerging image analysis framework that provides more details than conventional methods. In present study, we aimed to identify structural radiomics features of gray matter (GM) and white matter (WM), and to develop and validate the classification model for major depressive disorder (MDD) and subthreshold depression (StD) diagnosis using radiomics analysis. Methods A consecutive cohort of 142 adolescents and young adults, including 43 cases with MDD, 49 cases with StD and 50 healthy controls (HC), were recruited and underwent the three-dimensional T1 weighted imaging (3D-T1WI) and diffusion tensor imaging (DTI). We extracted radiomics features representing the shape and diffusion properties of GM and WM from all participants. Then, an all-relevant feature selection process embedded in a 10-fold cross-validation framework was used to identify features with significant power for discrimination. Random forest classifiers (RFC) were established and evaluated successively using identified features. Results The results showed that a total of 3030 features were extracted after preprocessing, including 2262 shape-related features from each T1-weighted image representing GM morphometry and 768 features from each DTI representing the diffusion properties of WM. 25 features were selected ultimately, including ten features for MDD versus HC, eight features for StD versus HC, and seven features for MDD versus StD. The accuracies and area under curve (AUC) the RFC achieved were 86.75%, 0.93 for distinguishing MDD from HC with significant radiomics features located in the left medial orbitofrontal cortex, right superior and middle temporal regions, right anterior cingulate, left cuneus and hippocampus, 70.51%, 0.69 for discriminating StD from HC within left cuneus, medial orbitofrontal cortex, cerebellar vermis, hippocampus, anterior cingulate and amygdala, right superior and middle temporal regions, and 59.15%, 0.66 for differentiating MDD from StD within left medial orbitofrontal cortex, middle temporal and cuneus, right superior frontal, superior temporal regions and hippocampus, anterior cingulate, respectively. Conclusion These findings provide preliminary evidence that radiomics features of brain structure are valid for discriminating MDD and StD subjects from healthy controls. The MRI-based radiomics approach, with further improvement and validation, might be a potential facilitating method to clinical diagnosis of MDD or StD.