Twin studies show genetic factors influence susceptibility to MD, AD, and alcohol consumption (AC) (Sullivan et al., 2000; Vrieze et al., 2013; Verhulst et al., 2015). Large-scale genome-wide association studies (GWAS) have identified risk variants for these disorders and have revealed polygenic architectures with multiple common variants (CONVERGE consortium, 2015; Schumann et al., 2016; Clarke et al., 2017; Walters et al., 2018; Wray et al., 2018). Twin studies report moderate shared genetic liability between MD and AD, estimating the genetic correlation from 0.3 to 0.6 (Kendler et al., 1993; Prescott et al., 2000). Although emerging molecular genetic studies have reported shared genetic risk between these disorders, they have not yet illuminated mechanisms of association underlying genetic correlations (Almeida et al., 2014; Bulik-Sullivan et al., 2015a; Wium-Andersen et al., 2015; Clarke et al., 2017; Walters et al., 2018; Wray et al., 2018). That is, questions remain whether these traits show genetic correlation because of shared genetic effects independently on each trait (i.e. horizontal pleiotropy) (Hemani et al., 2018a) or because of causal processes (e.g. mediated pleiotropy).