Major depressive disorder (MDD) and cardiovascular disease (CVD) are often comorbid, resulting in excess morbidity and mortality. Using genomic data, this study elucidates biological mechanisms, key risk factors, and causal pathways underlying their comorbidity. We show that CVDs share a large proportion of their genetic risk factors with MDD. Multivariate genome-wide association analysis of the shared genetic liability between MDD and atherosclerotic CVD (ASCVD) revealed seven novel loci and distinct patterns of tissue and brain cell-type enrichments, suggesting a role for the thalamus. Part of the genetic overlap was explained by shared inflammatory, metabolic, and psychosocial/lifestyle risk factors. Finally, we found support for causal effects of genetic liability to MDD on CVD risk, but not from most CVDs to MDD, and demonstrated that the causal effects were partly explained by metabolic and psychosocial/lifestyle factors. The distinct signature of MDD-ASCVD comorbidity aligns with the idea of an immunometabolic sub-type of MDD more strongly associated with CVD than overall MDD. In summary, we identify plausible biological mechanisms underlying MDD-CVD comorbidity, as well as key modifiable risk factors for prevention of CVD in individuals with MDD.