Observational studies and randomized controlled trials presented inconsistent findings on the effects of cholesterol-lowering statins on depression. It therefore remains unclear whether statins have any beneficial effects on depression, and if so, what the underlying molecular mechanisms are. Here, we aimed to use genomic approaches to investigate this further. Using Connectivity Map (CMap), we first investigated whether statins and antidepressants shared pharmacological effects by interrogating gene expression responses to drug exposure in human cell lines. Second, using Mendelian randomization analysis, we investigated both on-target (through HMGCR inhibition) and potential off-target (through ITGAL and HDAC2 inhibition) causal effects of statins on depression risk and depressive symptoms, and traits related to the shared biological pathways identified from CMap analysis. Compounds inducing highly similar gene expression responses to statins in HA1E cells (indicated by an average connectivity score with statins > 90) were found to be enriched for antidepressants (12 out of 38 antidepressants; p = 9E-08). Genes perturbed in the same direction by both statins and antidepressants were significantly enriched for diverse cellular and metabolic pathways, and various immune activation, development and response processes. MR analysis did not identify any significant associations between statin exposure and depression risk or symptoms after multiple testing correction. However, genetically proxied HMGCR inhibition was strongly associated with alterations in platelets (a prominent serotonin reservoir) and monocyte percentage, which have previously been implicated in depression. Genetically proxied ITGAL inhibition was strongly associated with basophil, monocyte and neutrophil counts. We identified biological pathways that are commonly perturbed by both statins and antidepressants, and haematological biomarkers genetically associated with statin targets. Our findings warrant pre-clinical investigation of the causal role of these shared pathways in depression and potential as therapeutic targets, and investigation of whether blood biomarkers may be important considerations in clinical trials investigating effects of statins on depression.