Background The association between depression and sarcopenia has been reported in observational studies but the causality of depression on sarcopenia remained unknown. We aimed to assess the causal effect between major depressive disorder (MDD) and sarcopenia using the two-sample Mendelian randomization (MR) method. Methods A set of genetics instruments were used for analysis, derived from publicly available genetic summary data. Clinically, appendicular lean mass (ALM) and low hand grip strength (LHGS) have been widely used for the diagnosis of sarcopenia. Inverse-variance weighted method, weighted median method, MR-Egger, MR Pleiotropy RESidual Sum and Outlier test were used for the bidirectional MR analyses. Results No evidence for an effect of MDD on sarcopenia risk was found. MDD was not associated with ALM [effect = −0.17 (−0.60 to 0.27), P = 0.449] and LHGS [effect = 0.24 (−0.46 to 0.93), P = 0.506]. Sarcopenia was not associated with MDD [ALM: odds ratio (OR) = 0.999 (0.996–1.001), P = 0.374; LHGS: OR = 0.999 (0.996–1.002), P = 0.556]. Conclusion MDD and Sarcopenia might mutually have no causal effect on each other.