Functional neuroimaging research on depression has traditionally targeted neural networks associated with the psychological aspects of depression. In this study, instead, we focus on alterations of sensorimotor function in depression. We used resting-state functional MRI data and dynamic causal modeling (DCM) to assess the hypothesis that depression is associated with aberrant effective connectivity within and between key regions in the sensorimotor hierarchy. Using hierarchical modeling of between-subject effects in DCM with parametric empirical Bayes we first established the architecture of effective connectivity in sensorimotor cortices. We found that in (interoceptive and exteroceptive) sensory cortices across participants, the backward connections are predominantly inhibitory, whereas the forward connections are mainly excitatory in nature. In motor cortices these parities were reversed. With increasing depression severity, these patterns are depreciated in exteroceptive and motor cortices and augmented in the interoceptive cortex, an observation that speaks to depressive symptomatology. We established the robustness of these results in a leave-one-out cross-validation analysis and by reproducing the main results in a follow-up dataset. Interestingly, with (nonpharmacological) treatment, depression-associated changes in backward and forward effective connectivity partially reverted to group mean levels. Overall, altered effective connectivity in sensorimotor cortices emerges as a promising and quantifiable candidate marker of depression severity and treatment response.