Osteoarthritis (OA) and major depression (MD) are two debilitating disorders that frequently co-occur and affect millions of the elderly each year. Despite the greater symptom severity, poorer clinical outcomes, and increased mortality of the comorbid conditions, we have a limited understanding of their etiologic relationships. In this study, we conducted the first cross-disorder investigations of OA and MD, using genome-wide association data representing over 247K cases and 475K controls. Along with significant positive genome-wide genetic correlations (rg = 0.299 ± 0.026, p = 9.10 × 10–31), Mendelian randomization (MR) analysis identified a bidirectional causal effect between OA and MD (βOA→MD = 0.09, SE = 0.02, z-score p-value < 1.02 × 10–5; βMD→OA = 0.19, SE = 0.026, p < 2.67 × 10–13), indicating genetic variants affecting OA risk are, in part, shared with those influencing MD risk. Cross-disorder meta-analysis of OA and MD identified 56 genomic risk loci (Pmeta ≤ 5 × 10–8), which show heightened expression of the associated genes in the brain and pituitary. Gene-set enrichment analysis highlighted “mechanosensory behavior” genes (GO:0007638; Pgene_set = 2.45 × 10–8) as potential biological mechanisms that simultaneously increase susceptibility to these mental and physical health conditions. Taken together, these findings show that OA and MD share common genetic risk mechanisms, one of which centers on the neural response to the sensation of mechanical stimulus. Further investigation is warranted to elaborate the etiologic mechanisms of the pleiotropic risk genes, as well as to develop early intervention and integrative clinical care of these serious conditions that disproportionally affect the aging population.