Major depressive disorder (MDD) impacts more than 300 million people worldwide, highlighting a significant public health issue. However, the uneven distribution of medical resources and the complexity of diagnostic methods have resulted in inadequate attention to this disorder in numerous countries and regions. This paper introduces a high-performance MDD diagnosis tool named MDD-LLM, an AI-driven framework that utilizes fine-tuned large language models (LLMs) and extensive real-world samples to tackle challenges in MDD diagnosis. Therefore, we select 274,348 individual information from the UK Biobank cohort to train and evaluate the proposed method. Specifically, we select 274,348 individual records from the UK Biobank cohort and design a tabular data transformation method to create a large corpus for training and evaluating the proposed approach. To illustrate the advantages of MDD-LLM, we perform comprehensive experiments and provide several comparative analyses against existing model-based solutions across multiple evaluation metrics. Experimental results show that MDD-LLM (70B) achieves an accuracy of 0.8378 and an AUC of 0.8919 (95% CI: 0.8799 - 0.9040), significantly outperforming existing machine learning and deep learning frameworks for MDD diagnosis. Given the limited exploration of LLMs in MDD diagnosis, we examine numerous factors that may influence the performance of our proposed method, such as tabular data transformation techniques and different fine-tuning strategies.