Multiple sclerosis (MS), a demyelinating disease that causes focal white matter lesions, is commonly associated with depression. However, it remains unclear whether depression risk is selectively increased by specific white matter lesion locations. Recent work shows that stroke lesions and therapeutic neuromodulation sites that modify depression severity are connected to a common brain circuit, providing an a priori template. Here we assessed whether this circuit is relevant for white matter lesions in MS. In a clinical and radiological database of individuals with MS (n = 281), we estimated the whole-brain connectivity of each person’s white matter lesion locations using a normative connectome database (n = 1,000). Functional connectivity between MS lesion locations and our a priori depression circuit was correlated with depression severity in MS (P = 0.013) and specific to depression versus other MS-related symptoms (P = 0.0058). A data-driven circuit for MS depression showed similar topography to our a priori depression circuit (P = 0.015). The peak of this data-driven MS depression circuit was in the ventral midbrain, including the ventral tegmental area (familywise-error-corrected P < 0.05). These findings lend insight into the localization of MS depression that may help guide targeting for therapeutic brain stimulation.