Major depression (MD) is a serious psychiatric illness afflicting nearly 5% of the worlds population. A large correlational literature suggests that loneliness is a prospective risk factor for MD; correlational assocations of this nature may be confounded for a variety of reasons. This report uses Mendelian Randomization (MR) to examine potentially causal associations between loneliness and MD. We report on analyses using summary statistics from three large genome wide association studies (GWAS). MR analyses were conducted using three independent sources of GWAS summary statistics. In the first set of analyses, we used available summary statistics from an extant GWAS of loneliness to predict MD risk. We used two sources of outcome data: the Psychiatric Genomics Consortium (PGC) meta-analysis of MD (PGC-MD; N = 142,646) and the Million Veteran Program (MVP-MD; N = 250,215). Finally, we reversed analyses using data from the MVP and PGC samples to identify risk variants for MD and used loneliness outcome data from UK Biobank. We find robust evidence for a bidirectional causal relationship between loneliness and MD, including between loneliness, depression cases status, and a continuous measure of depressive symptoms. The estimates remained significant across several sensitivity analyses, including models that account for horizontal pleiotropy. This paper provides the first genetically-informed evidence that reducing loneliness may play a causal role in decreasing risk for depressive illness, and these findings support efforts to reduce loneliness in order to prevent or ameliorate MD. Discussion focuses on the public health significance of these findings, especially in light of the SARS-CoV-2 pandemic.