BACKGROUND: The comorbidity of major depressive disorder (MDD) and Parkinson's disease (PD) were prevalent and has a profound impact on patients. However, whether this comorbidity results from specific pathological processes or a mutual cause-and-effect relationship was largely controversial. Additionally, although MDD can appear before or after PD, the health impact of the comorbidity sequence is poorly understood. METHODS: We used mendelian randomization (MR) and UK biobank (UKB) cohort to explore the associations between MDD and PD. MR was also utilized to investigate potential confounders. By classifying UKB patients into MDD first and PD first groups, we evaluated the health impact of the comorbidity sequence using Cox regression. RESULTS: Bidirectional MR and cohort study showed conflicting results. MR did not find associations between MDD followed by PD (odds ratio [OR] = 1.28, 95 % confidence interval [CI] = 0.85-1.94) or PD followed by MDD (OR = 0.99, 95 % CI = 0.97-1.01). However, the cohort study found a significant effect of MDD on PD (hazard ratio [HR] = 1.75, 95 % CI = 1.55-1.97) and PD on MDD (HR = 4.35, 95 % CI = 3.65-5.19). By performing MR on 4709 proteins, we identified ESD, LEAP2, NDRG3, NRXN3, and PLXNB2 as potential common causes of MDD and PD. Additionally, PD first group had higher risks of all-cause mortality (HR = 1.65, 95 % CI = 1.03-1.90), dementia (HR = 1.88, 95 % CI = 1.16-3.04), and aspiration pneumonia (HR = 1.89, 95 % CI = 1.09-3.27). CONCLUSIONS: Our study suggested the comorbidity of MDD and PD is likely the result of certain pathological processes. Additionally, patients with PD first had higher risks of several adverse outcomes.