Using a case-controlled study including siblings of major depression (MD) and control probands, born 1970–1990 and followed through 2018, we sought to clarify the degree to which the familial liability to MD is reflected in its clinical features, and the pattern of psychiatric disorders at elevated risk in the siblings of MD probands. The study population included full-siblings of 197,309 MD and matched 197,309 control probands. The proband-sibling tetrachoric correlation of for MD was +0.20. Both linear and quadratic effects of younger AAO and number of episodes significantly increased the risk of MD in siblings. Male sex, anxiety disorder, alcohol use disorder (AUD), inpatient treatment, psychotic symptoms, severity, and antidepressant prescription in MD probands increased the risk of MD in siblings. Cox proportional hazard models (hazard ratios, 95% CI) revealed a significantly increased risk of attention deficit hyperactivity disorder (1.82, 1.76–1.88), generalized anxiety disorder (1.79, 1.74–1.85), bipolar disorder (1.78, 1.70–1.85), MD (1.74, 1.72–1.76), obsessive-compulsive disorder (1.72, 1.65–1.80), phobic anxiety disorder (1.71, 1.65–1.76), and panic disorder (1.68, 1.64–1.72) in MD co-siblings. The HRs for AUD (1.64, 1.60–1.68), post-traumatic stress disorder (1.62, 1.59–1.66) were modestly lower, and the lowest was seen for schizophrenia (1.42, 1.30–1.54). The overall pattern of increased risk of these disorders was similar in reared-apart half-siblings and cousins of MD probands. Our findings suggest that MD is familial, and a range of important clinical factors predict its familial liability. The familial liability to MD, mostly due to genetic factors, is shared with a broad range of psychiatric disorders.