The cerebellum plays an important role in depression. Cerebro-cerebellar circuits have been found to show aberrance in bipolar disorder (BD) and major depressive disorder (MDD). However, whether the cerebro-cerebellar connectivity contributes equally to the pathologic mechanisms of BD and MDD remains unknown. We recruited 33 patients with MDD, 32 patients with BD, and 43 healthy controls (HC). We selected six seed regions (three per hemisphere) in the cerebrum, corresponding to the affective, cognitive control, and default mode networks, to establish cerebro-cerebellar functional connectivity maps. Relative to the HC, both the BD and MDD patients exhibited weaker negative connectivity between the right subgenual anterior cingulate cortex and the cerebellar vermis IV_V (p = 0.03, p = 0.001) and weaker positive connectivity between the left precuneus and the left cerebellar lobule IX (p = 0.043, p = 0.000). Moreover, the MDD patients showed weaker positive connectivity in the left precuneus-left cerebellar lobule IX circuit than the BD patients (p = 0.049). In addition, the BD patients showed weaker positive connectivity in the right dorsolateral prefrontal cortex-left cerebellar lobule Crus Ι circuit compared to the HC (p = 0.002) or the MDD patients (p = 0.013). Receiver operating characteristic curves analyses showed that the altered cerebro-cerebellar connectivities could be used to distinguish the patients from the HC with relatively high accuracy. Our findings suggested that differences in connectivity of cerebro-cerebellar circuits, which are involved in affective or cognitive functioning, significantly contributed to BD and MDD.