Abstract Background Depression is more common in obese than non-obese individuals, especially in women, but the causal relationship between obesity and depression is complex and uncertain. Previous studies have used genetic variants associated with BMI to provide evidence that higher body mass index (BMI) causes depression, but have not tested whether this relationship is driven by the metabolic consequences of BMI nor for differences between men and women. Methods We performed a Mendelian randomization study using 48 791 individuals with depression and 291 995 controls in the UK Biobank, to test for causal effects of higher BMI on depression (defined using self-report and Hospital Episode data). We used two genetic instruments, both representing higher BMI, but one with and one without its adverse metabolic consequences, in an attempt to ‘uncouple’ the psychological component of obesity from the metabolic consequences. We further tested causal relationships in men and women separately, and using subsets of BMI variants from known physiological pathways. Results Higher BMI was strongly associated with higher odds of depression, especially in women. Mendelian randomization provided evidence that higher BMI partly causes depression. Using a 73-variant BMI genetic risk score, a genetically determined one standard deviation (1 SD) higher BMI (4.9 kg/m2) was associated with higher odds of depression in all individuals [odds ratio (OR): 1.18, 95% confidence interval (CI): 1.09, 1.28, P = 0.00007) and women only (OR: 1.24, 95% CI: 1.11, 1.39, P = 0.0001). Meta-analysis with 45 591 depression cases and 97 647 controls from the Psychiatric Genomics Consortium (PGC) strengthened the statistical confidence of the findings in all individuals. Similar effect size estimates were obtained using different Mendelian randomization methods, although not all reached P < 0.05. Using a metabolically favourable adiposity genetic risk score, and meta-analysing data from the UK biobank and PGC, a genetically determined 1 SD higher BMI (4.9 kg/m2) was associated with higher odds of depression in all individuals (OR: 1.26, 95% CI: 1.06, 1.50], P = 0.010), but with weaker statistical confidence. Conclusions Higher BMI, with and without its adverse metabolic consequences, is likely to have a causal role in determining the likelihood of an individual developing depression.