Background: Smoking is a well-established cause of lung cancer and there is strong evidence that smoking also increases the risk of several other cancers. Alcohol consumption has been inconsistently associated with cancer risk in observational studies. This mendelian randomisation (MR) study sought to investigate associations in support of a causal relationship between smoking and alcohol consumption and 19 site-specific cancers. Methods and findings: We used summary-level data for genetic variants associated with smoking initiation (ever smoked regularly) and alcohol consumption, and the corresponding associations with lung, breast, ovarian, and prostate cancer from genome-wide association studies consortia, including participants of European ancestry. We additionally estimated genetic associations with 19 site-specific cancers among 367,643 individuals of European descent in UK Biobank who were 37 to 73 years of age when recruited from 2006 to 2010. Associations were considered statistically significant at a Bonferroni corrected p-value below 0.0013. Genetic predisposition to smoking initiation was associated with statistically significant higher odds of lung cancer in the International Lung Cancer Consortium (odds ratio [OR] 1.80; 95% confidence interval [CI] 1.59–2.03; p = 2.26 × 10−21) and UK Biobank (OR 2.26; 95% CI 1.92–2.65; p = 1.17 × 10−22). Additionally, genetic predisposition to smoking was associated with statistically significant higher odds of cancer of the oesophagus (OR 1.83; 95% CI 1.34–2.49; p = 1.31 × 10−4), cervix (OR 1.55; 95% CI 1.27–1.88; p = 1.24 × 10−5), and bladder (OR 1.40; 95% CI 1.92–2.65; p = 9.40 × 10−5) and with statistically nonsignificant higher odds of head and neck (OR 1.40; 95% CI 1.13–1.74; p = 0.002) and stomach cancer (OR 1.46; 95% CI 1.05–2.03; p = 0.024). In contrast, there was an inverse association between genetic predisposition to smoking and prostate cancer in the Prostate Cancer Association Group to Investigate Cancer Associated Alterations in the Genome consortium (OR 0.90; 95% CI 0.83–0.98; p = 0.011) and in UK Biobank (OR 0.90; 95% CI 0.80–1.02; p = 0.104), but the associations did not reach statistical significance. We found no statistically significant association between genetically predicted alcohol consumption and overall cancer (n = 75,037 cases; OR 0.95; 95% CI 0.84–1.07; p = 0.376). Genetically predicted alcohol consumption was statistically significantly associated with lung cancer in the International Lung Cancer Consortium (OR 1.94; 95% CI 1.41–2.68; p = 4.68 × 10−5) but not in UK Biobank (OR 1.12; 95% CI 0.65–1.93; p = 0.686). There was no statistically significant association between alcohol consumption and any other site-specific cancer. The main limitation of this study is that precision was low in some analyses, particularly for analyses of alcohol consumption and site-specific cancers. Conclusions: Our findings support the well-established relationship between smoking and lung cancer and suggest that smoking may also be a risk factor for cancer of the head and neck, oesophagus, stomach, cervix, and bladder. We found no evidence supporting a relationship between alcohol consumption and overall or site-specific cancer risk.