By cross-correlating templates constructed from the Two Micron All Sky Survey Extended Source Catalog with the first-year data from the Wilkinson Microwave Anisotropy Probe (WMAP), we search for the thermal Sunyaev-Zel'dovich (tSZ) signature induced by hot gas in the local universe. Assuming that galaxies trace the distribution of hot gas, we select regions on the sky with the largest projected density of galaxies. Under conservative assumptions on the amplitude of foreground residuals, we find a temperature decrement of -35+/-7 μK (~5 σ detection level, the highest reported so far) in the ~26 deg2 of the sky containing the largest number of galaxies per solid angle. We show that most of the reported signal is caused by known galaxy clusters that, when convolved with the average beam of the WMAP W-band channel, subtend a typical angular size of 20'-30'. Finally, after removing from our analyses all pixels associated with known optical and X-ray galaxy clusters, we still find a tSZ decrement of -96+/-37 μK in pixels subtending about ~0.8 deg2 on the sky. Most of this signal is coming from five different cluster candidates in the Zone of Avoidance (ZoA), present in the Clusters in the ZoA catalog. We found no evidence that structures less bound than clusters contribute to the tSZ signal present in the WMAP data.