OBJECTIVE: Depression and chronic widespread pain (CWP) frequently coexist, but whether depression is an independent causal risk factor for CWP, and/or vice versa, remains unclear. We investigated the bidirectional causal relationship between depression and CWP. METHODS: We performed a two-sample Mendelian randomisation (MR) study to estimate the causal relationship between genetically predicted depression (170,756 cases, 329,443 controls) and risk of CWP (6,914 cases, 242,929 controls), and the effect of CWP on depression susceptibility, using large population-level genetic data. We used a new MR method, Causal Analysis Using Summary Effect estimates (CAUSE), which allows for sample overlap, in addition to traditional MR and sensitivity analyses. RESULTS: For each doubling in odds of genetic liability to depression, the risk of chronic widespread pain was increased (OR 1.004, 95% credible interval 1.003-1.005; p = 7.3 × 10 that the causal model is a better fit than non-causal model). There was bidirectional evidence of causality, with genetic liability to chronic widespread pain increasing depression susceptibility (OR 2.31; 95%CrI 1.57, 3.40; p = 0.0026 that the causal model is a better fit). Other MR methods produced concordant results. CONCLUSIONS: This study provides evidence in support of a bidirectional causal relationship between depression and increased risk of chronic widespread pain, whilst overcoming the major limitations of previous epidemiological studies. Interventions for depression may be an effective strategy to prevent or reduce the burden of chronic widespread pain and vice versa.