Background: Alopecia areata (AA) has long been associated with major depressive disorder (MDD). However, most evidence to date has derived from cross-sectional or case-control studies. Objective: To investigate the bidirectional association between AA and MDD among probands and unaffected siblings. Methods: Study participants were recruited from the National Health Insurance Research Database in Taiwan. We included 2123 probands with AA, 2298 unaffected siblings, and 9192 matched controls to assess the risk of MDD. We included 16,543 probands with MDD, 17,352 unaffected siblings, and 69,408 matched controls to assess the risk of AA. The Breslow-Cox model was used to calculate the adjusted relative risk. Results: Compared with controls, AA probands and unaffected siblings had adjusted relative risks of 8.22 (95% confidence interval [CI], 6.41-10.54) and 2.55 (95% CI, 1.91-3.40), respectively, for MDD. MDD probands and unaffected siblings had adjusted relative risks for AA of 1.66 (95% CI, 1.24-2.22) and 1.64 (95% CI, 1.27-2.12), respectively. Limitation: The National Health Insurance Research Database lacked information on disease severity, body mass index, smoking habit, alcohol consumption, and stressful life events. Conclusion: Our study demonstrated a bidirectional association between AA and MDD among probands and unaffected siblings, thus suggesting shared familial mechanisms underlying AA and MDD.