Abstract: Objective: Polycystic ovary syndrome (PCOS) has been associated with an increased risk of coronary artery disease (CAD). However, it remains uncertain whether this increased risk is the result of PCOS per se or, alternatively, is explained by obesity, a common feature of PCOS. The aim of this study was to assess the causal association between PCOS and CAD and the role of obesity herein. Design and Methods: We conducted two‐sample Mendelian randomisation analyses in large‐scale, female‐specific datasets to study the association between genetically predicted (1) risk of PCOS and risk of CAD, (2) body mass index (BMI) and risk of PCOS and (3) BMI and risk of CAD. Primary analyses were conducted with the inverse‐variance weighted (IVW) method. Simple median, penalized weighted median and contamination mixture analyses were performed to assess the robustness of the outcomes. Results: IVW analyses did not show a statistically significant association between PCOS and CAD (odds ratio [OR]: 0.99, 95% confidence interval [CI]: 0.89, 1.11). In contrast, genetically predicted BMI was statistically significantly associated with an increased odds of PCOS (OR: 3.21, 95% CI: 2.26, 4.56) and CAD (OR: 1.38, 95% CI: 1.14, 1.67). Similar results were obtained when secondary analyses were performed. Conclusion: These sex‐specific analyses show that the genetically predicted risk of PCOS is not associated with the risk of CAD. Instead, the genetically predicted risk of obesity (and its downstream metabolic effects) is the common denominator of both PCOS and CAD risk.