Observational studies have shown a bidirectional association between chronic obstructive pulmonary disease (COPD) and gastroesophageal reflux disease (GERD), but it is not clear whether this association is causal. In our previous study, we found that depression was a hot topic of research in the association between COPD and GERD. Is major depressive disorder (MDD) a mediator of the association between COPD and GERD? Here, we evaluated the causal association between COPD, MDD, and GERD using Mendelian randomization (MR) study. Based on the FinnGen, United Kingdom Biobank, and Psychiatric Genomics Consortium (PGC) databases, we obtained genome-wide association study (GWAS) summary statistics for the three phenotypes from 315,123 European participants (22,867 GERD cases and 292,256 controls), 462,933 European participants (1,605 COPD cases and 461,328 controls), and 173,005 European participants (59,851 MDD cases and 113,154 controls), respectively. To obtain more instrumental variables to reduce bias, we extracted relevant single-nucleotide polymorphisms (SNPs) for the three phenotypes from published meta-analysis studies. Bidirectional MR and expression quantitative trait loci (eQTL)-MR were performed using the inverse variance weighting method to assess the causal association between GERD, MDD, and COPD. There was no evidence of a causal effect between GERD and COPD in the bidirectional MR analysis [forward MR for GERD on COPD: odds ratios (OR) = 1.001, = 0.270; reverse MR for COPD on GERD: OR = 1.021, = 0.303]. The causal effect between GERD and MDD appeared to be bidirectional (forward MR for GERD on MDD: OR = 1.309, = 0.006; reverse MR for MDD on GERD: OR = 1.530, < 0.001), while the causal effect between MDD and COPD was unidirectional (forward MR for MDD on COPD: OR = 1.004, < 0.001; reverse MR for COPD on MDD: OR = 1.002, = 0.925). MDD mediated the effect of GERD on COPD in a unidirectional manner (OR = 1.001). The results of the eQTL-MR were consistent with those of the bidirectional MR. MDD appears to play a vital role in the effect of GERD on COPD. However, we have no evidence of a direct causal association between GERD and COPD. There is a bidirectional causal association between MDD and GERD, which may accelerate the progression from GERD to COPD.