Depression is common in multiple sclerosis (MS); and is associated with faster disability progression. The etiology of comorbid depression in MS remains poorly understood. Identification of individuals with a high risk for depression, via polygenic scores (PGS), may facilitate earlier identification. Previous genetic studies of depression considered depression as a primary disorder, not a comorbidity, and thus findings may not generalize to MS. Body mass index (BMI) is a risk factor for both MS and depression and its association may highlight differences in depression in MS. To improve the understanding of comorbid depression in MS, we will investigate PGS in people with MS, with the hypothesis that higher depression PGS is associated with increased odds for comorbid depression in MS. Samples from three sources (Canada, UK Biobank, and the United States) were used. Individuals were grouped into cases (MS/comorbid depression) and compared to three control groups: MS/no depression, depression/no immune disease, and healthy persons. We employed three depression definitions: lifetime clinical diagnoses, self-reported diagnoses, and depressive symptoms. The PGS were tested in association with depression using regression. 106,682 individuals of European genetic ancestry were used: Canada (n=370; 213 with MS), UK Biobank (n=105,734; 1,390 MS), and USA (n=578 MS). Meta-analyses revealed individuals with MS and depression had a higher depression PGS compared to both MS without depression (odds ratio range per standard deviation [SD]: 1.29-1.38, P<0.05) and healthy controls (odds ratio range per SD: 1.49-1.53, P<0.025), regardless of the definition applied and when sex-stratified. The BMI PGS was associated with depressive symptoms (P≤.001). The depression PGS did not differ between depression occurring as a comorbid condition with MS or as the primary condition (odds ratio range per SD: 1.03-1.13, all P>0.05). Higher depression genetic burden was associated with ∼30-40% increased odds of depression in European genetic ancestry participants with MS compared to those without depression and was no different compared to those with depression and no comorbid immune disease. This study paves the way for further investigations into the possible use of PGS for assessing psychiatric disorder risk in MS and its application to non-European genetic ancestries.