Objective Major depressive disorder (MDD) is a psychiatric disorder with a relatively limited response to treatment. It is necessary to better understand the neuroanatomical mechanisms of structural networks. Methods The current study recruited 181 first-onset, untreated adult MDD patients: slight MDD (SD, N = 23), moderate MDD (MD, N = 77), Heavy MDD (HD, N = 81) groups; along with a healthy control group (HC, N = 81) with matched general clinical data. FreeSurfer was used to preprocess T1 images for gray matter volume (GMV), and the default mode network (DMN) and the execution control network (ECN) were analyzed by structural covariance network (SCN). Results Present study found that the GMV of brain regions reduced with the severity of the disease. Specifically, the GMV of the left anterior cingulate gyrus (ACC.L) is negatively correlated with MDD severity. In addition, the SCN connectivity of the whole-brain network increases with the increase of severity in MDD. ACC.L is a key brain region with increased connectivity between the left orbitofrontal in DMN and between the right orbitofrontal in ECN, which leads to damage to the balance of neural circuits. Conclusions Patients with smaller GMV of ACC.L are more likely to develop severe MDD, and as a key region in both networks which have distinct structural network models in DMN and ECN. MDD patients with different severity have different neuroimaging changes in DMN and ECN.