We study theoretically the Josephson diode effect (JDE) realized in a system composed of parallel-coupled double quantum dots (DQDs) sandwiched between two semiconductor nanowires deposited on an s-wave superconductor surface. Due to the combined effects of the proximity-caused superconductivity, strong Rashba spin-orbit interaction and Zeeman splitting inside the nanowires, a pair of Majorana bound states (MBSs) may possibly emerge at opposite ends of each nanowire. Different phase factors arisen from the superconductor substrate can be generated in the coupling amplitudes between the DQDs and MBSs prepared at the left and right nanowires, and will result in the Josephson current. We find that the critical Josephson currents in positive and negative directions are different from each other in amplitude within an oscillation period with respective to the magnetic flux penetrating through the system, a phenomenon known as the JDE. It arises from the quantum interference effect in this double-path device, and can hardly occur in system of one QD coupled to MBSs. Our results also show that the diode efficiency can reach up to 50%, and depends on the overlap amplitude between the MBSs and the energy levels of the DQDs adjustable by gate voltages. The present model is realizable within current nanofabitication technologies and may find practical use in interdisciplinary field of Majorana and Josephson physics.