Although a genetic basis of depression has been well established in twin studies, identification of genome-wide significant loci has been difficult. We hypothesized that bivariate analyses of findings from a meta-analysis of genome-wide association studies (meta-GWASs) of the broad depression phenotype with those from meta-GWASs of self-reported and recurrent major depressive disorder (MDD), bipolar disorder and schizophrenia would enhance statistical power to identify novel genetic loci for depression. LD score regression analyses were first used to estimate the genetic correlations of broad depression with self-reported MDD, recurrent MDD, bipolar disorder and schizophrenia. Then, we performed four bivariate GWAS analyses. The genetic correlations (rg ± SE) of broad depression with self-reported MDD, recurrent MDD, bipolar disorder and schizophrenia were 0.79 ± 0.07, 0.24 ± 0.08, 0.53 ± 0.09 and 0.57 ± 0.05, respectively. From a total of 20 independent genome-wide significant loci, 13 loci replicated of which 8 were novel for depression. These were MUC21 for the broad depression phenotype with self-reported MDD and ZNF804A, MIR3143, PSORS1C2, STK19, SPATA31D1, RTN1 and TCF4 for the broad depression phenotype with schizophrenia. Post-GWAS functional analyses of these loci revealed their potential biological involvement in psychiatric disorders. Our results emphasize the genetic similarities among different psychiatric disorders and indicate that cross-disorder analyses may be the best way forward to accelerate gene finding for depression, or psychiatric disorders in general.