Background <p>There was a link between depression and chronic kidney disease (CKD), yet causal relationship between them remains underexplored. This study was conducted to explore this relationship and offer fresh perspectives on how CKD affected depression risk.</p> Methods <p>Initially, 7537 subjects from National Health and Nutrition Examination Survey (NHANES) were categorized into depression and control groups based on Patient Health Questionnaire 9 (PHQ-9). Afterwards, the baseline characteristics and risk association analyses (weighted multivariate/stratified logistic regression analyses) were applied to evaluate associations of CKD and various covariates with depression. The predictive ability of CKD for depression risk was assessed by receiver operating characteristic (ROC) analysis. Eventually, the relationship between CKD and depression was further corroborated by Mendelian randomization (MR) analysis.</p> Results <p>In addition to CKD, eight covariates like age and gender demonstrated significant associations with depression, with marked differences exhibited between depression (<i>n</i> = 365) and control (<i>n</i> = 3373) groups. Notably, CKD emerged as a risk factor for depression across three logistic regression models (OR &gt; 1, 95% CI ≠ 1, <i>p</i> &lt; 0.05). The association between CKD and depression was robust and stable, minimally influenced by covariates. Additionally, an area under curve (AUC) of 0.818 demonstrated significant predictive effectiveness of CKD as a risk factor for depression. Eventually, a positive causal relationship between CKD and depression was confirmed by MR analysis (OR = 1.002, 95% CI = 1.000–1.003, <i>p</i> &lt; 0.05).</p> Conclusion <p>CKD could increase the risk of depression, underscoring the need for targeted interventions to mitigate this risk.</p>