Changes in soil moisture strongly affect vegetation growth, which may in turn feed back on soil moisture by directly affecting evapotranspiration and indirectly regulating precipitation. Previous studies often focused on the unidirectional effects of soil moisture on temporal vegetation dynamics, yet bidirectional dependencies have rarely been studied. Here we analyzed the bidirectional dependency between soil moisture and vegetation productivity during 2001–2020 at a global scale using the Granger causality, and revealed strong concurrent and lagged correlations between both variables in large areas globally. Bidirectional causality between soil moisture and vegetation productivity was identified over 66% of the vegetated land areas, while considering lagged effects and controlling for temperature and solar radiation. Unidirectional effects of vegetation productivity on soil moisture, and soil moisture on vegetation productivity, were observed for 22% and 12% of vegetated land areas, respectively. For areas characterized by uni- and bidirectional dependencies, 74% of the vegetation productivity and 48% of soil moisture could be explained by optimum lag models. Finally, we observed increases in both vegetation productivity and soil moisture in 44% of the vegetated land areas, yet 36% showed an increase in vegetation productivity but a decrease in soil moisture, indicating divergent responses between greening and water availability. Identification of areas showing Granger causality between soil moisture and vegetation productivity is important for our understanding of carbon-water interactions for terrestrial ecosystems under climate change and for improving sustainable management of ecosystem services linked to the carbon-water cycle.