Objective <p>Major depressive disorder (MDD) frequently co-occurs with asthma and allergic rhinitis (AR); however, the causal directions and ancestral differences remain incompletely understood. This study integrates genome-wide association study data from European (EUR), East Asian (EAS), South Asian (SAS), Hispanic (HIS), and African (AFR) ancestries, employing the trans-ethnic Mendelian randomization (TEMR) method based on conditional likelihood to address prior limitations.</p> Methods <p>In the exploratory phase, inverse-variance weighted was utilized as the primary approach for conventional bidirectional two-sample MR analyses, providing validation and comparison. Sensitivity analyses encompassed MRlap, Bonferroni correction, Steiger filtering, RadialMR, and evaluations for horizontal pleiotropy and heterogeneity. In the confirmatory phase, a genetic correlation matrix was constructed using linkage disequilibrium score regression. The EUR population was selected as the auxiliary cohort, with sentinel variants screened and incorporated into the TEMR model. The Nelder-Mead simplex algorithm served as the primary likelihood optimizer, supplemented by verification with Broyden–Fletcher–Goldfarb–Shanno (BFGS), Conjugate Gradient, Limited-memory BFGS with Bounds, and Simulated Annealing algorithms.</p> Results <p>Genetically predicted MDD and asthma exhibited bidirectional causal effects in EUR, HIS, and EAS populations, with unidirectional effects of asthma increasing MDD risk in SAS and AFR populations. Furthermore, unidirectional effects were observed for MDD increasing AR risk in EUR and AFR populations, and for AR increasing MDD risk in HIS and SAS populations. Sensitivity analyses confirmed the robustness of these findings.</p> Conclusions <p>This TEMR study confirms ancestry-specific bidirectional causal relationships between MDD and allergic airway diseases, highlighting the need for integrated, ancestry-tailored screening and preventive strategies in psychiatric and allergic-disease management.</p>