ObjectiveThis study aimed to explore the causal relationship between sex hormone‐binding globulin (SHBG) and major depression using two‐sample Mendelian randomization (MR) studies.MethodsBased on the genome‐wide association study (GWAS) summary data of SHBG and major depression in the European population, which included 214,989 female SHBG samples, 185,221 male SHBG samples, and 500,199 major depression samples, we used genetic factors as instrumental variables to conduct two‐sample MR analyses. We used methods including inverse variance weighted (IVW), weighted median, weighted mode, and MR Egger to evaluate the bidirectional causal relationship between SHBG and major depression.ResultsThe results showed that there was a causal relationship between female SHBG and major depression, which was positively correlated. The ORs were 1.056 (95% CI: 1.005–1.109, p = 0.031) for the weighted median and 1.067 (95% CI: 1.012–1.126, p = 0.021) for the weighted mode. There was no significant effect of male SHBG on major depression (p > 0.05), and there was no significant effect of major depression on female SHBG (p > 0.05). Major depression was negatively correlated with male SHBG, indicating that major depression could lead to a decrease in male SHBG. The OR was 0.954 (95% CI: 0.916–0.993, p = 0.023) for IVW.ConclusionFemale SHBG was positively correlated with the risk of major depression, however, major depression was found to be negatively correlated with serum SHBG levels in men, indicating that SHBG plays distinct roles in patients with major depression of different genders.