Biobanks often contain several phenotypes relevant to diseases such as major depressive disorder (MDD), with partly distinct genetic architectures. Researchers face complex tradeoffs between shallow (large sample size, low specificity/sensitivity) and deep (small sample size, high specificity/sensitivity) phenotypes, and the optimal choices are often unclear. Here we propose to integrate these phenotypes to combine the benefits of each. We use phenotype imputation to integrate information across hundreds of MDD-relevant phenotypes, which significantly increases genome-wide association study (GWAS) power and polygenic risk score (PRS) prediction accuracy of the deepest available MDD phenotype in UK Biobank, LifetimeMDD. We demonstrate that imputation preserves specificity in its genetic architecture using a novel PRS-based pleiotropy metric. We further find that integration via summary statistics also enhances GWAS power and PRS predictions, but can introduce nonspecific genetic effects depending on input. Our work provides a simple and scalable approach to improve genetic studies in large biobanks by integrating shallow and deep phenotypes.