Competitive endogenous RNA regulatory network analysis revealed that the KCNQ1OT1‐miR‐92a/miR‐132/miR‐19b/miR‐145‐CXCR6/GZMK/KLRG1 and XIST1‐miR‐92a/miR‐132/miR‐19b‐CXCR6/GZMK/KLRG1 regulatory axes may play critical roles in the pathogenesis of OA and MDD. Here, GZMK is linked to major depressive disorder.