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Background: Despite established clinical associations among major depression (MD), alcohol dependence (AD), and alcohol consumption (AC), the nature of the causal relationship between them is not completely understood. We leveraged genome-wide data from the Psychiatric Genomics Consortium (PGC) and UK Biobank to test for the presence of shared genetic mechanisms and causal relationships among MD, AD, and AC. Methods: Linkage disequilibrium score regression and Mendelian randomization (MR) were performed using genome-wide data from the PGC (MD: 135 458 cases and 344 901 controls; AD: 10 206 cases and 28 480 controls) and UK Biobank (AC-frequency: 438 308 individuals; AC-quantity: 307 098 individuals). Results: Positive genetic correlation was observed between MD and AD (rgMD−AD = + 0.47, P = 6.6 × 10−10). AC-quantity showed positive genetic correlation with both AD (rgAD−AC quantity = + 0.75, P = 1.8 × 10−14) and MD (rgMD−AC quantity = + 0.14, P = 2.9 × 10−7), while there was negative correlation of AC-frequency with MD (rgMD−AC frequency = −0.17, P = 1.5 × 10−10) and a non-significant result with AD. MR analyses confirmed the presence of pleiotropy among these four traits. However, the MD-AD results reflect a mediated-pleiotropy mechanism (i.e. causal relationship) with an effect of MD on AD (beta = 0.28, P = 1.29 × 10−6). There was no evidence for reverse causation. Conclusion: This study supports a causal role for genetic liability of MD on AD based on genetic datasets including thousands of individuals. Understanding mechanisms underlying MD-AD comorbidity addresses important public health concerns and has the potential to facilitate prevention and intervention efforts. [ABSTRACT FROM AUTHOR]