We initiate the study of the Macdonald intersection polynomials $\operatorname{I}_{μ^{(1)},\dots,μ^{(k)}}[X;q,t]$, which are indexed by $k$-tuples of partitions $μ^{(1)},\dots,μ^{(k)}$. These polynomials are conjectured to be equal to the bigraded Frobenius characteristic of the intersection of Garsia-Haiman modules, as proposed by the science fiction conjecture of Bergeron and Garsia. In this work, we establish the vanishing identity and the shape independence of the Macdonald intersection polynomials. Additionally, we unveil a remarkable connection between $\operatorname{I}_{μ^{(1)},\dots,μ^{(k)}}$ and the character $\nabla e_{k-1}$ of diagonal coinvariant algebra by employing the plethystic formula for the Macdonald polynomials of Garsia--Haiman--Tesler. Furthermore, we establish a connection between $\operatorname{I}_{μ^{(1)},\dots,μ^{(k)}}$ and the shuffle formula $D_{k-1}[X;q,t]$, utilizing novel combinatorial tools such as the column exchange rule, a new fermionic formula for the shuffle formula, and the lightning bolt formula for Macdonald intersection polynomials. Notably, our findings provide a new proof for the shuffle theorem.