Depression is one of the most frequent psychiatric symptoms observed in people during the development of Alzheimer's disease (AD). We hypothesized that genetic factors conferring risk of depression might affect AD development. In this study, we screened 31 genes, which were located in 19 risk loci for major depressive disorder (MDD) identified by two recent large genome-wide association studies (GWAS), in AD patients at the genomic and transcriptomic levels. Association analysis of common variants was performed by using summary statistics of the International Genomics of Alzheimer's Project (IGAP), and association analysis of rare variants was conducted by sequencing the entire coding region of the 31 MDD risk genes in 107 Han Chinese patients with early-onset and/or familial AD. We also quantified the mRNA expression alterations of these MDD risk genes in brain tissues of AD patients and AD mouse models, followed by protein-protein interaction network prediction to show their potential effects in AD pathways. We found that common and rare variants of L3MBTL2 were significantly associated with AD. mRNA expression levels of 18 MDD risk genes, in particular SORCS3 and OAT, were differentially expressed in AD brain tissues. 13 MDD risk genes were predicted to physically interact with core AD genes. The involvement of HACE1, NEGR1, and SLC6A15 in AD was supported by convergent lines of evidence. Taken together, our results showed that MDD risk genes might play an active role in AD pathology and supported the notion that depression might be the "common cold" of psychiatry.