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Abstract Background Depression is a disabling and highly prevalent condition where genetic and epigenetic, such as DNA methylation (DNAm), differences contribute to disease risk. DNA methylation is influenced by genetic variation but the association between polygenic risk of depression and DNA methylation is unknown. Methods We investigated the association between polygenic risk scores (PRS) for depression and DNAm by conducting a methylome-wide association study (MWAS) in Generation Scotland (N = 8898, mean age = 49.8 years) with replication in the Lothian Birth Cohorts of 1921 and 1936 and adults in the Avon Longitudinal Study of Parents and Children (ALSPAC) (N combined = 2049, mean age = 79.1, 69.6 and 47.2 years, respectively). We also conducted a replication MWAS in the ALSPAC children (N = 423, mean age = 17.1 years). Gene ontology analysis was conducted for the cytosine-guanine dinucleotide (CpG) probes significantly associated with depression PRS, followed by Mendelian randomisation (MR) analysis to infer the causal relationship between depression and DNAm. Results Widespread associations (N CpG = 71, p Bonferroni < 0.05, p < 6.3 × 10−8) were found between PRS constructed using genetic risk variants for depression and DNAm in CpG probes that localised to genes involved in immune responses and neural development. The effect sizes for the significant associations were highly correlated between the discovery and replication samples in adults (r = 0.79) and in adolescents (r = 0.82). Gene Ontology analysis showed that significant CpG probes are enriched in immunological processes in the human leukocyte antigen system. Additional MWAS was conducted for each lead genetic risk variant. Over 47.9% of the independent genetic risk variants included in the PRS showed associations with DNAm in CpG probes located in both the same (cis) and distal (trans) locations to the genetic loci (p Bonferroni < 0.045). Subsequent MR analysis showed that there are a greater number of causal effects found from DNAm to depression than vice versa (DNAm to depression: p FDR ranged from 0.024 to 7.45 × 10−30; depression to DNAm: p FDR ranged from 0.028 to 0.003). Conclusions PRS for depression, especially those constructed from genome-wide significant genetic risk variants, showed methylome-wide differences associated with immune responses. Findings from MR analysis provided evidence for causal effect of DNAm to depression.