BACKGROUND: Schizophrenia, bipolar disorder and depression are associated with inflammation. However, it is unclear whether associations of immunological proteins/traits with these disorders are likely to be causal, or could be explained by reverse causality/residual confounding. METHODS: We used bi-directional two-sample Mendelian randomization (MR) and multi-variable MR (MVMR) analysis to examine evidence of causality, specificity and direction of association of 20 immunological proteins/traits (pro-inflammatory cytokines: interleukin (IL)-6, tumour necrosis factor (TNF)-α, IL-12, IL-16, IL-17, IL-18; anti-inflammatory cytokines: IL-1 receptor antagonist (RA), IL-10, IL-13; chemokines: IL-8, monocyte chemo-attractant protein-1 (MCP-1); lymphoid growth-factors: soluble (s) IL-2Rα, IL-4, IL-7, IL-9; myeloid growth-factor: IL-5; acute phase protein: C-Reactive Protein (CRP); immune cells: neutrophils, lymphocytes; neurotrophic factor: brain derived neurotrophic factor (BDNF)) with schizophrenia, major depression and bipolar disorder. RESULTS: Genetically-predicted IL-6 was associated with increased risk of schizophrenia in univariable MR (OR = 1.24; 95% C.I., 1.05-1.47) and with major depression in MVMR (OR = 1.08; 95% C.I., 1.03-1.12). These results survived Bonferroni-correction. Genetically-predicted sIL-2Rα (OR = 1.07; 95% C.I., 1.01-1.12) and IL-9 (OR = 1.06; 95% C.I., 1.01-1.11) were associated with increased schizophrenia risk. Genetically-predicted BDNF (OR = 0.97; 95% C.I., 0.94-1.00) and MCP-1 (OR = 0.96; 95% C.I., 0.91-0.99) were associated with reduced schizophrenia risk. However, these findings did not survive correction for multiple testing. The CRP-schizophrenia association attenuated completely after taking into account IL-6 and sIL-2Rα in MVMR (OR = 1.02; 95% C.I., 0.81-1.28). No significant associations were observed for bipolar disorder. Evidence from bidirectional MR did not support reverse causality. CONCLUSIONS: We report evidence in support of potential causal associations of several immunological proteins/traits with schizophrenia, and of IL-6 with depression. Some of the findings did not survive correction for multiple testing and so replication in larger samples is required. Experimental studies are also required to further examine causality, mechanisms, and treatment potential for these immunological proteins/pathways for schizophrenia and depression.