Depression is a common and clinically heterogeneous mental health disorder that is frequently comorbid with other diseases and conditions. Stratification of depression may align sub-diagnoses more closely with their underling aetiology and provide more tractable targets for research and effective treatment. In the current study, we investigated whether genetic data could be used to identify subgroups within people with depression using the UK Biobank. Examination of cross-locus correlations were used to test for evidence of subgroups using genetic data from seven other complex traits and disorders that were genetically correlated with depression and had sufficient power (>0.6) for detection. We found no evidence for subgroups within depression for schizophrenia, bipolar disorder, attention deficit/hyperactivity disorder, autism spectrum disorder, anorexia nervosa, inflammatory bowel disease or obesity. This suggests that for these traits, genetic correlations with depression were driven by pleiotropic genetic variants carried by everyone rather than by a specific subgroup.