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While observational studies show an association between 25(OH)vitamin D concentrations and depressive symptoms, intervention studies, which examine the preventive effects of vitamin D supplementation on the development of depression, are lacking. To estimate the role of lowered 25(OH)vitamin D concentrations in the etiology of depressive disorders, we conducted a two-sample Mendelian randomization (MR) study on depression, i.e., “depressive symptoms” (DS, n = 161,460) and “broad depression” (BD, n = 113,769 cases and 208,811 controls). Six single nucleotide polymorphisms (SNPs), which were genome-wide significantly associated with 25(OH)vitamin D concentrations in 79,366 subjects from the SUNLIGHT genome-wide association study (GWAS), were used as an instrumental variable. None of the six SNPs was associated with DS or BD (all p > 0.05). MR analysis revealed no causal effects of 25(OH)vitamin D concentration, either on DS (inverse variance weighted (IVW); b = 0.025, SE = 0.038, p = 0.52) or on BD (IVW; b = 0.020, SE = 0.012, p = 0.10). Sensitivity analyses confirmed that 25(OH)vitamin D concentrations were not significantly associated with DS or BD. The findings from this MR study indicate no causal relationship between vitamin D concentrations and depressive symptoms, or broad depression. Conflicting findings from observational studies might have resulted from residual confounding or reverse causation.