Depression affects all aspects of an individual's life but evidence relating to the causal effects on health is limited. We used information from 337,536 UK Biobank participants and performed hypothesis-free phenome-wide association analyses between major depressive disorder (MDD) genetic risk score (GRS) and 925 disease outcomes. GRS-disease outcome associations passing the multiple-testing corrected significance threshold (P < 1.9 × 10-3) were followed by Mendelian randomisation (MR) analyses to test for causality. MDD GRS was associated with 22 distinct diseases in the phenome-wide discovery stage, with the strongest signal observed for MDD diagnosis and related co-morbidities including anxiety and sleep disorders. In inverse-variance weighted MR analyses, MDD was associated with several inflammatory and haemorrhagic gastrointestinal diseases, including oesophagitis (OR 1.32, 95% CI 1.18-1.48), non-infectious gastroenteritis (OR 1.25, 95% CI 1.06-1.48), gastrointestinal haemorrhage (OR 1.26, 95% CI 1.11-1.43) and intestinal E.coli infections (OR 3.24, 95% CI 1.74-6.02). Signals were also observed for symptoms/disorders of the urinary system (OR 1.36, 95% CI 1.19-1.56), asthma (OR 1.23, 95% CI 1.06-1.44), and painful respiration (OR 1.28, 95% CI 1.14-1.44). MDD was associated with disorders of lipid metabolism (OR 1.22, 95% CI 1.12-1.34) and ischaemic heart disease (OR 1.30, 95% CI 1.15-1.47). Sensitivity analyses excluding pleiotropic variants provided consistent associations. Our study indicates a causal link between MDD and a broad range of diseases, suggesting a notable burden of co-morbidity. Early detection and management of MDD is important, and treatment strategies should be selected to also minimise the risk of related co-morbidities.