This study systematically investigated the causal relationship between gastroesophageal reflux disease (GERD) and major depression (MD). Single-nucleotide polymorphisms (SNPs) associated with disorders of interest were screened via the genome-wide association study (GWAS) enrolling individuals of European descent. Summary-level data for GERD and MD were extracted from the UK Biobank. The inverse-variance-weighted (IVW) method was utilized as the primary analysis. Sensitivity analyses were performed using the MR-Egger method, the Maximum likelihood method, the MR-pleiotropy residual sum outlier (MR-PRESSO) method, and MR-robust adjusted profile score (MR-RAPS) method. MR-Egger regression, heterogeneity tests, pleiotropy tests, and leave-one-out tests were also performed to analyze sensitivity. The MR Steiger test was used to verify the directionality of the exposure to the outcome. An available website tool (https://shiny.cnsgenomics.com/mRnd/) was used to calculate the statistical power of MR analysis. Meta-analysis was applied to test MD’s average genetically predicted effect on GERD. Our MR study showed a bidirectional causal association between MD and GERD. Regarding MD to GERD, there was a positive association between them; the ORs were 1.500 (95% CI = 1.320–1.704; P = 4.91E-10) and 2.058 (95% CI = 1.868–2.267; P = 2.20E-48) in the IVW method, respectively. In addition, the meta-analysis also showed a strong positive causal association between MD and GERD. When exposure and outcome were reversed, genetic predisposition to GERD was significantly associated with the overall Risk of advanced MD (ieu-a-1187, OR = 1.982, 95% CI = 1.694–2.319, P = 1.41E-17; ieu-b-102, OR = 1.612, 95% CI = 1.530–2.700, P = 1.15E-70). Our study provides 100% power to detect the causal effect of MD on GERD and vice versa. Genetically predicted MD was positively associated with higher GERD risk, and vice versa. Our study reminds clinicians to pay attention to screening for GERD when diagnosing and treating MD and vice versa. Moreover, there may be positive feedback between MD and GERD when treating and preventing one disorder may benefit the treatment and prevention of the other.