The mechanism underlying the co-occurrence of major depressive disorder (MDD) and gynecological diseases remains unclear. This study aimed to investigate the familial co-aggregation and shared genetic loading between MDD and gynecological diseases, namely dysmenorrhea, endometriosis, uterine leiomyomas (UL), and polycystic ovary syndrome (PCOS). Overall, 2,121,632 females born 1970-1999 with parental information were enrolled from the Taiwan National Health Insurance Research Database (NHIRD); 25,142 same-sex twins and 951,779 persons with full-sibling(s) were selected. Genome-wide genotyping data were available for 67,882 unrelated female participants from the Taiwan Biobank linked to the NHIRD. A generalized linear model with a logistic link function was used to examine the associations of individual history, family history in parents/full-siblings/same-sex twins, and polygenic risk scores (PRS) for MDD with the risk of gynecological diseases; generalized estimating equations were used to consider the non-independence of data. Both parents affected with MDD was associated with four gynecological diseases, and its magnitude of association was higher than either affected parent; maternal MDD showed a higher magnitude of association than paternal MDD. Full-siblings of patients with MDD had a higher risk of four gynecological diseases; same-sex twins of patients with MDD had a greater association with dysmenorrhea and PCOS. PRS for MDD was associated with dysmenorrhea and endometriosis. Familial co-aggregation was observed in the co-occurrence of MDD and four gynecological diseases. There exists a shared polygenic liability between MDD and dysmenorrhea and endometriosis. Individuals with MDD-affected relatives or a higher PRS for MDD should be monitored for gynecological diseases.