Major depressive disorder (MDD) is phenotypically associated with cardiovascular diseases (CVD). We aim to investigate mechanisms underlying relationships between MDD and CVD in the context of shared genetic variations. Polygenic overlap analysis was used to test genetic correlation and to analyze shared genetic variations between MDD and seven cardiovascular outcomes (coronary artery disease (CAD), heart failure, atrial fibrillation, stroke, systolic blood pressure, diastolic blood pressure, and pulse pressure measurement). Mendelian randomization analysis was used to uncover causal relationships between MDD and cardiovascular traits. By cross-trait meta-analysis, we identified a set of genomic loci shared between the traits of MDD and stroke. Putative causal genes for MDD and stroke were prioritized by fine-mapping of transcriptome-wide associations. Polygenic overlap analysis pointed toward substantial genetic variation overlap between MDD and CVD. Mendelian randomization analysis indicated that genetic liability to MDD has a causal effect on CAD and stroke. Comparison of genome-wide genes shared by MDD and CVD suggests 20q12 as a pleiotropic region conferring risk for both MDD and CVD. Cross-trait meta-analyses and fine-mapping of transcriptome-wide association signals identified novel risk genes for MDD and stroke, including RPL31P12, BORSC7, PNPT11, and PGF. Many genetic variations associated with MDD and CVD outcomes are shared, thus, pointing that genetic liability to MDD may also confer risk for stroke and CAD. Presented results shed light on mechanistic connections between MDD and CVD phenotypes.