Stigma of major depressive disorder (MDD) is an important public health problem. This study aimed to examine the level of perceived stigma and its associated factors in MDD patients in five Asian countries, including China, Korea, Malaysia, Singapore, and Thailand. A total of 547 outpatients with MDD were included from Asian countries. We used the stigma scale of the Explanatory Model Interview Catalogue (EMIC) to assess stigma. The Montgomery-Asberg Depression Rating Scale (MADRS), Symptoms Checklist 90-Revised (SCL-90-R), Fatigue Severity Scale (FSS), Sheehan Disability Scale (SDS), 36-Item Short-Form Health Survey (SF-36), and Multidimensional Scale of Perceived Social Support (MSPSS) were used to assess symptoms, clinical features, functional impairment, health status, and social support. The stigma scores of patients under 55 years old were significantly higher than those equal to or greater than 55 years old (P < 0.001). The stigma scores exhibited significant negative correlation with age; MSPSS scores of family, friends, and others; and SF-36 subscale of mental health, but significant positive correlation with MADRS, FSS, SDS, and SCL-90-R subscale scores of depression, interpersonal sensitivity, obsession-compulsion, psychoticism, and somatization. Multivariate regression analysis revealed that age, SCL-90-R interpersonal sensitivity, obsession-compulsion, psychoticism, MSPSS scores of friends and others, and SF-36 of mental health were significantly associated with the level of perceived stigma. These findings suggest that MDD patients who are young, have a high degree of interpersonal sensitivity and psychoticism, have low health-related quality of life, and have low social support are the target population for stigma interventions in Asia.