The mechanism underlying the co-occurrence of major depressive disorder (MDD) and gynecological diseases remains unclear. This study aimed to investigate the familial co-aggregation and shared genetic loading between MDD and gynecological diseases, namely dysmenorrhea, endometriosis, uterine leiomyomas (UL), and polycystic ovary syndrome (PCOS). Overall, 2,121,632 females born 1970–1999 with parental information were enrolled from the Taiwan National Health Insurance Research Database (NHIRD); 25,142 same-sex twins and 951,779 persons with full-sibling(s) were selected. Genome-wide genotyping data were available for 67,882 unrelated female participants from the Taiwan Biobank linked to the NHIRD. A generalized linear model with a logistic link function was used to examine the associations of individual history, family history in parents/full-siblings/same-sex twins, and polygenic risk scores (PRS) for MDD with the risk of gynecological diseases; generalized estimating equations were used to consider the non-independence of data. Both parents affected with MDD was associated with four gynecological diseases, and its magnitude of association was higher than either affected parent; maternal MDD showed a higher magnitude of association than paternal MDD. Full-siblings of patients with MDD had a higher risk of four gynecological diseases; same-sex twins of patients with MDD had a greater association with dysmenorrhea and PCOS. PRS for MDD was associated with dysmenorrhea and endometriosis. Familial co-aggregation was observed in the co-occurrence of MDD and four gynecological diseases. There exists a shared polygenic liability between MDD and dysmenorrhea and endometriosis. Individuals with MDD-affected relatives or a higher PRS for MDD should be monitored for gynecological diseases.