The relationship between depression and vitamin D deficiency is complex, with evidence mostly from studies affected by confounding and reverse causality. We examined the causality and direction of the relationship between 25-hydroxyvitamin D (25(OH)D) and depression in bi-directional Mendelian randomization (MR) analyses using information from up to 307,618 white British participants from the UK Biobank and summary results from the SUNLIGHT (n = 79,366) and Psychiatric Genomics consortia (PGC 113,154 cases and 218,523 controls). In observational analysis, the odds of depression decreased with higher 25(OH)D concentrations (adjusted odds ratio (OR) per 50% increase 0.95, 95%CI 0.94–0.96). In MR inverse variance weighted (IVW) using the UK Biobank, there was no association between genetically determined serum 25(OH)D and depression (OR per 50% higher 0.97, 95%CI 0.90–1.05) with consistent null association across all MR approaches and in data from PGC consortium. In contrast, genetic liability to depression was associated with lower 25(OH)D concentrations (MR IVW −3.26%, −4.94%–−1.55%), with the estimates remaining generally consistent after meta-analysing with the consortia. In conclusion, we found genetic evidence for a causal effect of depression on lower 25(OH)D concentrations, however we could not confirm a beneficial effect of nutritional vitamin D status on depression risk.