Depression increases the conversion risk from amnestic mild cognitive impairment to Alzheimer's disease with unknown mechanisms. We hypothesize that the cumulative genomic risk for major depressive disorder may be a candidate cause for the increased conversion risk. Here, we aimed to investigate the predictive effect of the polygenic risk scores of major depressive disorder-specific genetic variants (PRSsMDD) on the conversion from non-depressed amnestic mild cognitive impairment to Alzheimer's disease, and its underlying neurobiological mechanisms. The PRSsMDD could predict the conversion from amnestic mild cognitive impairment to Alzheimer's disease, and amnestic mild cognitive impairment patients with high risk scores showed 16.25% higher conversion rate than those with low risk. The PRSsMDD was correlated with the left hippocampal volume, which was found to mediate the predictive effect of the PRSsMDD on the conversion of amnestic mild cognitive impairment. The major depressive disorder-specific genetic variants were mapped into genes using different strategies, and then enrichment analyses and protein-protein interaction network analysis revealed that these genes were involved in developmental process and amyloid-beta binding. They showed temporal-specific expression in the hippocampus in middle and late foetal developmental periods. Cell type-specific expression analysis of these genes demonstrated significant over-representation in the pyramidal neurons and interneurons in the hippocampus. These cross-scale neurobiological analyses and functional annotations indicate that major depressive disorder-specific genetic variants may increase the conversion from amnestic mild cognitive impairment to Alzheimer's disease by modulating the early hippocampal development and amyloid-beta binding. The PRSsMDD could be used as a complementary measure to select patients with amnestic mild cognitive impairment with high conversion risk to Alzheimer's disease.