Depression and cardiovascular disease (ischemic heart disease and stroke) are associated in a bidirectional manner. Their relatively high heritability has led to the hypothesis that this co-occurrence is related to shared familial and genetic factors; this study aims to test this hypothesis. We included 23,498 monozygotic and 39,540 same-sex dizygotic twins from the Danish Twin Registry followed from January 1977 until December 2011 in nationwide Danish registries. We used survival analyses accounting for censoring and competing risk of death to estimate cumulative incidence, casewise concordance, relative recurrence risk, and heritability of the co-occurrence of depression and cardiovascular disease by age using monozygotic and same-sex dizygotic twin pairs. The casewise concordance of ischemic heart disease or stroke in twins whose co-twin was diagnosed with depression was at all ages similar for the monozygotic and dizygotic twin pairs and to the cumulative incidence of ischemic heart disease or stroke, respectively, in the entire twin population. A similar pattern was seen in analyses of depression risk given the co-twin being diagnosed with ischemic heart disease or stroke. Relative recurrence risk and heritability estimates were also of modest size and with confidence intervals including unity. Results were similar after stratification by gender as well as when redefining depression to include the use of antidepressant medication from 1995. Our findings do not support that co-occurrence between depression and cardiovascular disease is explainable by shared genetic factors, nor did we find strong evidence of a familial effect.