Trials testing the effect of vitamin D or omega-3 polyunsaturated fatty acid (n3-PUFA) supplementation on major depressive disorder (MDD) reported conflicting findings. These trials were inspired by epidemiological evidence suggesting an inverse association of circulating 25-hydroxyvitamin D (25-OH-D) and n3-PUFA levels with MDD. Observational associations may emerge from unresolved confounding, shared genetic risk, or direct causal relationships. We explored the nature of these associations exploiting data and statistical tools from genomics. Results from genome-wide association studies on 25-OH-D (N = 79 366), n3-PUFA (N = 24 925), and MDD (135 458 cases, 344 901 controls) were applied to individual-level data (>2000 subjects with measures of genotype, DSM-IV (Diagnostic and Statistical Manual of Mental Disorders, 4th edition) lifetime MDD diagnoses and circulating 25-OH-D and n3-PUFA) and summary-level data analyses. Shared genetic risk between traits was tested by polygenic risk scores (PRS). Two-sample Mendelian Randomization (2SMR) analyses tested the potential bidirectional causality between traits. In individual-level data analyses, PRS were associated with the phenotype of the same trait (PRS 25-OH-D p = 1.4e − 20, PRS n3-PUFA p = 9.3e − 6, PRS MDD p = 1.4e − 4), but not with the other phenotypes, suggesting a lack of shared genetic effects. In summary-level data analyses, 2SMR analyses provided no evidence of a causal role on MDD of 25-OH-D (p = 0.50) or n3-PUFA (p = 0.16), or for a causal role of MDD on 25-OH-D (p = 0.25) or n3-PUFA (p = 0.66). Applying genomics tools indicated that shared genetic risk or direct causality between 25-OH-D, n3-PUFA, and MDD is unlikely: unresolved confounding may explain the associations reported in observational studies. These findings represent a cautionary tale for testing supplementation of these compounds in preventing or treating MDD.