Anhedonia is associated with dysfunction of the neural circuitry of reward in patients with major depressive disorder (MDD). However, its neurobiological basis is not fully understood. The present study examined the association between anhedonia and white matter (WM) characteristics in patients with first-episode MDD. We recruited 30 patients with first-episode drug-naive MDD and 28 healthy controls (HC) to undergo diffusion weighted imaging. We examined specifically the correlation between WM characteristics and anhedonia measured with the Temporal Experience of Pleasure Scale (TEPS) in MDD patients. Using Track-Based Spatial Statistics (TBSS), we found that MDD patients exhibited reduced fractional anisotropy (FA) in the left cingulum and the forceps minor. These patients also exhibited increased radial diffusivity (RD) in several major tracts including the bilateral anterior thalamic radiation, the corticospinal tract, the superior longitudinal fasciculus and the uncinate fasciculus in the left hemisphere. Correlational analysis showed that increased RD was significantly correlated with anticipatory anhedonia in the MDD group, while reduced mean FA was correlated with consummatory anhedonia in HC. These preliminary findings suggest that left-sided WM tracts abnormalities may contribute to the development of anhedonia in MDD patients.