Omega-3 fatty acids have been implicated in the aetiology of depressive disorders, though trials supplementing omega-3 to prevent major depressive disorder (MDD) have so far been unsuccessful. Whether this association is causal remains unclear. We used two sample Mendelian randomization (MR) to investigate causality. Genetic variants associated with circulating omega-3 and omega-6 fatty acids in UK Biobank (UKBB, n = 115,078) were selected as exposures. The Psychiatric Genomics Consortium (PGC) genome-wide association studies (GWAS) of MDD (n = 430,775; cases = 116,209; controls = 314,566) and recurrent depression (rMDD, n = 80,933; cases = 17,451; controls = 62,482), were used as outcomes. Multivariable MR (MVMR) models were used to account for biologically correlated lipids, such as high- and low-density cholesterol and triglycerides, and to explore the relative importance of longer-chain omega-3 fatty acids eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA) using data from the Cohorts for Heart and Aging Research in Genomic Epidemiology (CHARGE, n = 8866). Genetic colocalization analyses were used to explore the presence of a shared underlying causal variant between traits. Genetically predicted total omega-3 fatty acids reduced the odds of MDD (ORIVW 0.96 per standard deviation (SD, i.e. 0.22 mmol/l) (95% CIs 0.93–0.98, p = 0.003)). The largest point estimates were observed for eicosapentaenoic acid (EPA), a long-chain omega-3 fatty acid (OREPA 0.92; 95% CI 0.88–0.96; p = 0.0002). The effect of omega-3 fatty acids was robust to MVMR models accounting for biologically correlated lipids. ‘Leave-one-out’ analyses highlighted the FADS gene cluster as a key driver of the effect. Colocalization analyses suggested a shared causal variant using the primary outcome sample, but genomic confounding could not be fully excluded. This study supports a role for omega-3 fatty acids, particularly EPA, in the aetiology of depression, although pleiotropic mechanisms cannot be ruled out. The findings support guidelines highlighting the importance of EPA dose and ratio for MDD and question whether targeted interventions may be superior to universal prevention trials, as modest effect sizes will limit statistical power.