Background: Major depressive disorder (MDD) is common in multiple sclerosis (MS) and its incidence rises before MS diagnosis. However, the causality and direction of this association remain unclear. Objective: The objective is to investigate the bidirectional relationship between MS and MDD using Mendelian randomization (MR). Methods: We selected genetic instruments associated with risk of MDD ( n = 660,937 cases; 1,453,489 controls) and MS ( n = 47,429 cases; 68,374 controls). Using two-sample MR, we examined putative causal effects in either direction, with sensitivity analyses to assess pleiotropy. Also, we adjusted for body mass index (BMI) in multivariable MR. Results: We found no effect of genetic liability to MDD on the odds of MS (OR = 1.07/doubling in odds, 95% CI = 0.90–1.28). Similarly, our findings did not support a causal effect of genetic liability to MS on MDD (OR = 1.00/doubling in odds, 95% CI = 0.99–1.01). Despite heterogeneity, sensitivity analyses indicated that bias from pleiotropy was unlikely. Conversely, genetic predisposition toward higher BMI increased the odds of MS (OR = 1.34/SD increase, 95% CI = 1.09–1.65) and MDD (OR = 1.08, 95% CI = 1.01–1.15). Conclusion: This study does not support a causal association between MDD genetic liability and MS susceptibility, and vice versa. Genetic evidence suggesting commonality of obesity to both conditions may partly explain the increased incidence of depression pre-MS diagnosis.