Major depressive disorder (MDD) and cardiovascular disease (CVD) are often comorbid, resulting in excess morbidity and mortality. Here we show that CVDs share most of their genetic risk factors with MDD. Multivariate genome-wide association analysis of shared genetic liability between MDD and atherosclerotic CVD revealed seven loci and distinct patterns of tissue and brain cell-type enrichments, suggesting the involvement of the thalamus. Part of the genetic overlap was explained by shared inflammatory, metabolic and psychosocial or lifestyle risk factors. Our data indicated causal effects of genetic liability to MDD on CVD risk, but not from most CVDs to MDD, and showed that the causal effects were partly explained by metabolic and psychosocial or lifestyle factors. The distinct signature of MDD–atherosclerotic CVD comorbidity suggests an immunometabolic subtype of MDD that is more strongly associated with CVD than overall MDD. In summary, we identified biological mechanisms underlying MDD–CVD comorbidity and modifiable risk factors for prevention of CVD in individuals with MDD.