To understand a putative causal link for depression and pain, we retrieved summary statistics from genome-wide association studies conducted for pain at 7 different body sites (N = 151,922-226,683) and major depression disorder (MDD, Ncase/control = 246,363/561,190). We conducted a bidirectional Mendelian randomization analysis using distinct genome-wide association studies-identified single nucleotide polymorphisms for each trait as instrumental variables and performed several sensitivity analyses to verify Mendelian randomization assumptions. We also conducted functional annotation analysis using 396 tissue-specific annotations from the roadmap project. Across 7 different body sites, genetic predisposition to depression was associated with pain at the neck/shoulder (odds ratio [OR] = 1.08 per one log-unit increase in depression risk, 95% confidence interval [CI]: 1.06-1.10), back (OR = 1.05, 95% CI: 1.04-1.07), abdominal/stomach (OR = 1.03, 95% CI: 1.02-1.04), as well as headache (OR = 1.10, 95% CI: 1.07-1.12), but not with pain on the face, hip, and knee. In the reverse direction, genetically instrumented multisite chronic pain (OR = 1.78 per one increment in the number of pain site, 95% CI: 1.51-2.11) and headache (OR = 1.55 per one log-unit increase in headache risk, 95% CI = 1.13-2.10) were associated with MDD. Functional annotation analysis showed differential clustering patterns where depression clustered closely with headache and neck/shoulder pain, exhibiting substantial brain tissue enrichment. Our study indicates that depression is a causal risk factor for headache and pain localized at neck/shoulder, back, and abdominal/stomach, rather than pain at face, hip, and knee, and suggests common neurological pathologies underlying the development of depression, headache, and neck/shoulder pain.