Objectives: To investigate whether associations of smoking with depression and anxiety are likely to be causal, using a Mendelian randomisation approach. Design: Mendelian randomisation meta-analyses using a genetic variant (rs16969968/rs1051730) as a proxy for smoking heaviness, and observational meta-analyses of the associations of smoking status and smoking heaviness with depression, anxiety and psychological distress. Participants: Current, former and never smokers of European ancestry aged ≥16 years from 25 studies in the Consortium for Causal Analysis Research in Tobacco and Alcohol (CARTA). Primary outcome measures: Binary definitions of depression, anxiety and psychological distress assessed by clinical interview, symptom scales or self-reported recall of clinician diagnosis. Results: The analytic sample included up to 58 176 never smokers, 37 428 former smokers and 32 028 current smokers (total N=127 632). In observational analyses, current smokers had 1.85 times greater odds of depression (95% CI 1.65 to 2.07), 1.71 times greater odds of anxiety (95% CI 1.54 to 1.90) and 1.69 times greater odds of psychological distress (95% CI 1.56 to 1.83) than never smokers. Former smokers also had greater odds of depression, anxiety and psychological distress than never smokers. There was evidence for positive associations of smoking heaviness with depression, anxiety and psychological distress (ORs per cigarette per day: 1.03 (95% CI 1.02 to 1.04), 1.03 (95% CI 1.02 to 1.04) and 1.02 (95% CI 1.02 to 1.03) respectively). In Mendelian randomisation analyses, there was no strong evidence that the minor allele of rs16969968/rs1051730 was associated with depression (OR=1.00, 95% CI 0.95 to 1.05), anxiety (OR=1.02, 95% CI 0.97 to 1.07) or psychological distress (OR=1.02, 95% CI 0.98 to 1.06) in current smokers. Results were similar for former smokers. Conclusions: Findings from Mendelian randomisation analyses do not support a causal role of smoking heaviness in the development of depression and anxiety.