Emerging evidence suggests that structural brain abnormalities may play a role in the pathophysiology of melancholic depression. We set out to test whether diffusion-derived estimates of white matter structure were disrupted in melancholia in regions underpinning psychomotor function. We hypothesized that those with melancholia (and evidencing impaired psychomotor function) would show disrupted white matter organization in internal capsule subdivisions. Diffusion magnetic resonance imaging (dMRI) data were acquired from 22 melancholic depressed, 23 non-melancholic depressed, and 29 healthy control participants. Voxel-wise fractional anisotropy (FA), radial diffusivity (RD), and axial diffusivity (AD) values were derived for anterior, posterior, and retrolenticular limbs of the internal capsule and compared between groups. Neuropsychological (reaction time) and psychomotor functioning were assessed and correlated against FA. Fractional anisotropy was distinctly increased, whilst RD was decreased, in the right anterior internal capsule in those with melancholia, compared to controls. The right anterior limb of the internal capsule correlated with clinical ratings of psychomotor disturbance, and reduced psychomotor speed was associated with increased FA values in the right retrolenticular limb in those with melancholia. Our findings highlight a distinct disturbance in the local white matter arrangement in specific regions of the internal capsule in melancholia, which in turn is associated with psychomotor dysfunction. This study clarifies the contribution of structural brain integrity to the phenomenology of melancholia, and may assist future efforts seeking to integrate neurobiological markers into depression subtyping.