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Background Myasthenia gravis (MG) is an autoimmune disease affecting the postsynaptic membrane at the neuromuscular junction. Anxiety disorder and depression are common psychiatric comorbidities in patients with MG. However, the potential causal relationship between MG and these mental health conditions remains unclear. Methods A retrospective analysis was first conducted to collect relevant data from 96 patients with MG at the time of their initial definitive diagnosis at our center. The cohort was divided into an anxiety group and a non-anxiety group, and into a depression group and a non-depression group. Statistical methods were employed to examine the relationship between MG scale scores and the presence of anxiety and depression. Subsequently, for the first time, we employed a bidirectional two-sample Mendelian Randomization (MR) approach to explore the causal relationships between MG, anxiety disorders, and depression. We utilized the largest and most recent European population genome-wide association studies available for the three phenotypes to extract genetic variants that could serve as instrumental variables. The inverse variance weighted model was used as the primary analysis method. Multiple sensitivity analyses and pleiotropy tests were conducted to validate the robustness of the primary findings. Results In clinical studies, it was observed that 62.5% of MG patients exhibited anxiety symptoms, while 46.90% presented depressive symptoms with myasthenia gravis (MG). Through univariate regression analysis, no direct associations were identified between gender, age, disease duration, or MGFA classification and the occurrence of anxiety and depression. However, Quantitative Myasthenia Gravis (QMG) Score and Myasthenia Gravis Activities of Daily Living (MG-ADL) score were significantly associated with anxiety and depression among patients with MG ( p < 0.05). After adjusting for confounding variables, each one-point increase in the QMG score was associated with a 11.9% higher risk of anxiety and a 15.7% higher risk of depression, and each one-point increase in the MG-ADL score, the risk of anxiety and depression increases by 22.5 and 18.5%. These findings suggest that more severe MG symptoms and reduced quality of life are more likely to be accompanied by anxiety and depression. Further Mendelian randomization (MR) analyses provided no evidence supporting the hypothesis that genetically predicted MG influences the risk of anxiety disorders or depression. Reverse MR analysis also failed to reveal any causal relationship between these psychiatric comorbidities and MG. Sensitivity and pleiotropy analyses confirmed the robustness of our results. Conclusion In real-world clinical research, patients with MG who have more severe disease are more likely to present with anxiety and depression, and the two conditions show a clear association. However, from a genetic perspective, Mendelian Randomization (MR) analysis does not support a causal relationship between MG and anxiety or depression in European populations. The correlation observed in our clinical research may reflect non-causal associations not explained by genetic liability, potentially involving shared genetic architecture or non-genetic mechanisms.