Up to 60% of patients with major depressive disorder (MDD) do not respond to the first treatment with antidepressants. Response to antidepressants is a polygenic trait, although its underpinning genetics has not been fully clarified. This study aimed to investigate if polygenic risk scores (PRSs) for major psychiatric disorders and trait neuroticism (NEU) were associated with non-response or resistance to antidepressants in MDD. PRSs for bipolar disorder, MDD, NEU, and schizophrenia (SCZ) were computed in 1,148 patients with MDD. Summary statistics from the largest meta-analyses of genome-wide association studies were used as base data. Patients were classified as responders, non-responders to one treatment, non-responders to two or more treatments (treatment-resistant depression or TRD). Regression analyses were adjusted for population stratification and recruitment sites. PRSs did not predict either non-response vs response or TRD vs response after Bonferroni correction. However, SCZ-PRS was nominally associated with non-response (p = 0.003). Patients in the highest SCZ-PRS quintile were more likely to be non-responders than those in the lowest quintile (OR = 2.23, 95% CI = 1.21-4.10, p = 0.02). Patients in the lowest SCZ-PRS quintile showed higher response rates when they did not receive augmentation with second-generation antipsychotics (SGAs), while those in the highest SCZ-PRS quintile had a poor response independently from the treatment strategy (p = 0.009). A higher genetic liability to SCZ may reduce treatment response in MDD, and patients with low SCZ-PRSs may show higher response rates without SGA augmentation. Multivariate approaches and methodological refinements will be necessary before clinical implementations of PRSs.