AIMS: To investigate the causal role of high-density lipoprotein cholesterol (HDL-C) and triglycerides in coronary heart disease (CHD) using multiple instrumental variables for Mendelian randomization. METHODS AND RESULTS: We developed weighted allele scores based on single nucleotide polymorphisms (SNPs) with established associations with HDL-C, triglycerides, and low-density lipoprotein cholesterol (LDL-C). For each trait, we constructed two scores. The first was unrestricted, including all independent SNPs associated with the lipid trait identified from a prior meta-analysis (threshold P < 2 × 10-6); and the second a restricted score, filtered to remove any SNPs also associated with either of the other two lipid traits at P ≤ 0.01. Mendelian randomization meta-analyses were conducted in 17 studies including 62,199 participants and 12,099 CHD events. Both the unrestricted and restricted allele scores for LDL-C (42 and 19 SNPs, respectively) associated with CHD. For HDL-C, the unrestricted allele score (48 SNPs) was associated with CHD (OR: 0.53; 95% CI: 0.40, 0.70), per 1 mmol/L higher HDL-C, but neither the restricted allele score (19 SNPs; OR: 0.91; 95% CI: 0.42, 1.98) nor the unrestricted HDL-C allele score adjusted for triglycerides, LDL-C, or statin use (OR: 0.81; 95% CI: 0.44, 1.46) showed a robust association. For triglycerides, the unrestricted allele score (67 SNPs) and the restricted allele score (27 SNPs) were both associated with CHD (OR: 1.62; 95% CI: 1.24, 2.11 and 1.61; 95% CI: 1.00, 2.59, respectively) per 1-log unit increment. However, the unrestricted triglyceride score adjusted for HDL-C, LDL-C, and statin use gave an OR for CHD of 1.01 (95% CI: 0.59, 1.75). CONCLUSION: The genetic findings support a causal effect of triglycerides on CHD risk, but a causal role for HDL-C, though possible, remains less certain.