BACKGROUND: Lifestyle factors including obesity and smoking are suggested to be correlated with increased risk of COVID-19 severe illness or related death. However, whether these relationships are causal is not well known; neither for the relationships between COVID-19 severe illness and other common lifestyle factors, such as physical activity and alcohol consumption. METHODS: Genome-wide significant genetic variants associated with body mass index (BMI), lifetime smoking, physical activity and alcohol consumption identified by large-scale genome-wide association studies (GWAS) of up to 941,280 individuals were selected as instrumental variables. Summary statistics of the genetic variants on severe illness of COVID-19 were obtained from GWAS analyses of up to 6492 cases and 1,012,809 controls. Two-sample Mendelian randomisation analyses were conducted. RESULTS: Both per-standard deviation (SD) increase in genetically predicted BMI and lifetime smoking were associated with about two-fold increased risks of severe respiratory COVID-19 and COVID-19 hospitalization (all P < 0.05). Per-SD increase in genetically predicted physical activity was associated with decreased risks of severe respiratory COVID-19 (odds ratio [OR] = 0.19; 95% confidence interval [CI], 0.05, 0.74; P = 0.02), but not with COVID-19 hospitalization (OR = 0.44; 95% CI 0.18, 1.07; P = 0.07). No evidence of association was found for genetically predicted alcohol consumption. Similar results were found across robust Mendelian randomisation methods. CONCLUSIONS: Evidence is found that BMI and smoking causally increase and physical activity might causally decrease the risk of COVID-19 severe illness. This study highlights the importance of maintaining a healthy lifestyle in protecting from COVID-19 severe illness and its public health value in fighting against COVID-19 pandemic.