Objective: Major depression and asthma frequently co-occur, suggesting shared genetic vulnerability between these two disorders. We aimed to determine whether a higher genetic liability to major depression was associated with increased childhood asthma risk, and if so, whether such an association differed by sex of the child. Methods: We conducted a population-based cohort study comprising 16,687 singletons born between 1991 and 2005 in Denmark. We calculated the polygenic risk score (PRS) for major depression as a measure of genetic liability based on the summary statistics from the Major Depressive Disorder Psychiatric Genomics Consortium collaboration. The outcome was incident asthma from age 5 to 15 years, identified from the Danish National Patient Registry and the Danish National Prescription Registry. Stratified Cox regression was used to analyze the data. Results: Greater genetic liability to major depression was associated with an increased asthma risk with a hazard ratio (HR) of 1.06 (95% CI: 1.01–1.10) per standard deviation increase in PRS. Children in the highest major depression PRS quartile had a HR for asthma of 1.20 (95% CI: 1.06–1.36), compared with children in the lowest quartile. However, major depression PRS explained only 0.03% of asthma variance (Pseudo-R²). The HRs of asthma by major depression PRS did not differ between boys and girls. Conclusion: Our results suggest a shared genetic contribution to major depression and childhood asthma, and there is no evidence of a sex-specific difference in the association.