Genome-wide association studies (GWAS) have identified several common genetic variants influencing major depression and general cognitive abilities, but little is known about whether the two share any of their genetic aetiology. Here we investigate shared genomic architectures between major depression (MD) and general intelligence (INT) with the MiXeR statistical tool and their overlapping susceptibility loci with conjunctional false discovery rate (conjFDR), which evaluate the level of overlap in genetic variants and improve the power for gene discovery between two phenotypes. We analysed GWAS data on MD (n = 480,359) and INT (n = 269,867) to characterize polygenic architecture and identify genetic loci shared between these phenotypes. Despite non-significant genetic correlation (rg = -0.0148, P = 0.50), we observed large polygenic overlap and identified 92 loci shared between MD and INT at conjFDR < 0.05. Among the shared loci, 69 and 64 are new for MD and INT, respectively. Our study demonstrates polygenic overlap between these phenotypes with a balanced mixture of effect.