Abstract Deciphering the genetic relationships between major depressive disorder (MDD) and insomnia may facilitate understanding biological mechanisms as well as inform more effective treatment regimens for these conditions. Here, we attempted to investigate mechanisms underlying relationships between MDD and insomnia in the context of shared genetic variations. Shared genetic variation was evaluated by polygenic analysis. In two-sample bidirectional Mendelian randomization (MR) analysis, causal relationships between MDD and insomnia were investigated; the list of shared genomic loci was identified using cross-trait meta-analysis. Putatively causal genes for the two diseases were prioritized by fine-mapping of transcriptome-wide associations. Polygenic analysis identified 15.1 thousand variants as causally influencing MDD, and 10.8 thousand variants as influencing insomnia. Among these variants, 8.5 thousand were shared between the two diseases. MR analysis suggests that genetic liability to MDD and to insomnia have mutual causal effects [MDD on insomnia with odds ratio (OR) = 1.25 and insomnia on MDD with OR = 2.23]. Cross-trait meta-analyses identified 89 genomic loci as being shared between MDD and insomnia, with some of them being prioritized as causal in subsequent fine-mapping of transcriptome-wide association signals. Analysis highlights possible role of endogenous production of nitric oxide in the brain, and the gonadotropic secretion in the pituitary as possibly physiological connectors of MDD and insomnia. Here, we show a substantial shared genetic liability and mutual causal links between MDD and insomnia. Presented findings provide novel insight into phenotypic relationship between these two interconnected conditions.