Background Despite established clinical associations among major depression (MD), alcohol dependence (AD), and alcohol consumption (AC), the nature of the causal relationship between them is not completely understood. We leveraged genome-wide data from the Psychiatric Genomics Consortium (PGC) and UK Biobank to test for the presence of shared genetic mechanisms and causal relationships among MD, AD, and AC.Methods Linkage disequilibrium score regression and Mendelian randomization (MR) were performed using genome-wide data from the PGC (MD: 135 458 cases and 344 901 controls; AD: 10 206 cases and 28 480 controls) and UK Biobank (AC-frequency: 438 308 individuals; AC-quantity: 307 098 individuals).Results Positive genetic correlation was observed between MD and AD (rgMD-AD = + 0.47, P = 6.6 × 10 -10 ). AC-quantity showed positive genetic correlation with both AD (rgAD-AC quantity = + 0.75, P = 1.8 × 10 -14 ) and MD (rgMD-AC quantity = + 0.14, P = 2.9 × 10 -7 ), while there was negative correlation of AC-frequency with MD (rgMD-AC frequency =-0.17, P = 1.5 × 10 -10 ) and a non-significant result with AD. MR analyses confirmed the presence of pleiotropy among these four traits. However, the MD-AD results reflect a mediated-pleiotropy mechanism (i.e. causal relationship) with an effect of MD on AD (beta = 0.28, P = 1.29 × 10 -6 ). There was no evidence for reverse causation.Conclusion This study supports a causal role for genetic liability of MD on AD based on genetic datasets including thousands of individuals. Understanding mechanisms underlying MD-AD comorbidity addresses important public health concerns and has the potential to facilitate prevention and intervention efforts.