Background: The genetic role of blood lipids (BL) in the shared genetic etiology between major depressive disorder (MDD) and myocardial infarction (MI) has not been fully characterized. Methods: We first evaluated genetic associations and causal inferences between MDD, MI and the quantitative traits of BL. To further unravel the underlying genetic mechanisms, we performed multi-trait association analysis to identify novel or pleiotropic genomic risk loci, and shared causal variants for diseases involving BL. Using multiple post-GWAS methods, we explored potential genes, pathways, tissues, cells, and therapeutic targets associated with diseases from different perspectives. Findings: We found extensive global and local genetic correlations between MDD, MI and the traits of BL. Mendelian randomization (MR) analyses showed that lipid metabolism mediated 26.5% of the mediating effect of MDD leading to MI. Multi-trait association analysis successfully identified 13 MDD- and 36 MI- novel risk loci which have never been reported before. Notably, many pleiotropic loci and shared causal variants were identified across risk loci for both diseases, such as 11q23.3 (rs117937125) and 12q13.3 (rs188571756), which also colocalized for traits of BL. Pathway enrichment analysis further highlighted shared biological pathways primarily involving synaptic function, arterial development, and lipid metabolism. Lastly, gene-mapping,gene-based, transcriptome-wide and proteome-wide association, and MR-proteomic analyses revealed candidate pathogenic genes and therapeutic targets (such as ANGPTL4 and TMEM106B). Interpretation: These findings not only provide novel insights into the role of BL in the comorbidity between MDD and MI, but also benefit the development of preventive or therapeutic drugs for diseases.