Utilizing two-sample Mendelian randomization (TSMR) analysis, this study aims to explore the potential bidirectional causal relationship between common nonsteroidal anti-inflammatory drugs (paracetamol, ibuprofen, aspirin) and major depression (MD) from a genetic standpoint. We employed summarized data from a Genome-Wide Association Study (GWAS) of European populations. The inverse variance weighted (IVW) method was used for TSMR analysis; outcomes were evaluated based on p-value, OR (Odds Ratio), and 95% confidence interval (95% CI). From a genetic perspective, the study found that the use of paracetamol and ibuprofen increased the risk of MD (IVW (MRE): OR = 2.314, 95% CI: 1.609-3.327; p = 6.07E-06) and (IVW (MRE): OR = 2.308, 95% CI: 1.780-3.653; p = 0.002), respectively. No significant causal relationship was found between aspirin and MD (p > 0.05). Reverse TSMR analysis found that MD increased the genetic predisposition to use paracetamol, ibuprofen, and aspirin (IVW (MRE): OR = 1.042, 95% CI: 1.030-1.054, p = 3.07E-12), (IVW (FE): OR = 1.015, 95% CI: 1.007-1.023, p = 1.13E-04), (IVW (MRE): OR = 1.019, 95% CI: 1.009-1.030, p = 4.22E-04), respectively. Other analytical methods and sensitivity analyses further supported the robustness and reliability of these findings. This study provides preliminary genetic evidence through bidirectional TSMR analysis that MD increases the genetic predisposition to use paracetamol, ibuprofen, and aspirin, aiding clinicians in devising preventive strategies against the misuse of non-steroidal anti-inflammatory drugs. Moreover, we found that the use of paracetamol and ibuprofen increases the risk of MD, whereas aspirin did not. This suggests a crucial clinical implication: clinicians treating MD patients could opt for the relatively safer aspirin over paracetamol and ibuprofen.