To comprehensively investigate the risk factors associated with depression, traditional Chinese medicine constitution (TCMC) has been found to be related to depression. However, the underlying mechanism remains unclear. This study examined the association between the concept of unbalanced TCMCs and major depressive disorder (MDD), investigated the overlapping polygenic risks between unbalanced TCMC and MDD, and performed a mediation test to establish potential pathways. In total, 11,030 individuals were recruited from the Taiwan Biobank, and the polygenic risk score (PRS) for MDD for each participant was calculated using the data from the Psychiatric Genomics Consortium. Unbalanced TCMC were classified as yang‐deficiency, yin‐deficiency, and stasis. The MDD PRS was associated with yang‐deficiency odds ratio [OR] per standard deviation increase in standardized (PRS = 1.07, p = 0.0080), yin‐deficiency (OR = 1.07, p = 0.0030), and stasis constitution (OR = 1.06, p = 0.0331). Yang‐deficiency (OR = 2.07, p < 0.0001) and stasis constitutions (OR = 1.65, p = 0.0015) were associated with an increased risk of MDD. A higher number of unbalanced constitutions was associated with MDD (p < 0.0001). The effect of MDD PRS on MDD was partly mediated by yang‐deficiency (10.21%) and stasis (8.41%) constitutions. This study provides evidence for the shared polygenic risk mechanism underlying depression and TCMC and the potential mediating role of TCMC in the polygenic liability for MDD.