Psychiatric diseases exact a heavy socioeconomic toll, and it is particularly difficult to identify their risk factors and causative mechanisms due to their multifactorial nature, the limited physiopathological insight, the many confounding factors, and the potential reverse causality between the risk factors and psychiatric diseases. These characteristics make Mendelian randomization (MR) a precious tool for studying these disorders. MR is an analytical method that employs genetic variants linked to a certain risk factor, to assess if an observational association between that risk factor and a health outcome is compatible with a causal relationship. We report the first systematic review of all existing applications and findings of MR in psychiatric disorders, aiming at facilitating the identification of risk factors that may be common to different psychiatric diseases, and paving the way to transdiagnostic MR studies in psychiatry, which are currently lacking. We searched Web of Knowledge, Scopus, and Pubmed databases (until 3 May 2022) for articles on MR in psychiatry. The protocol was preregistered in PROSPERO (CRD42021285647). We included methodological details and results from 50 articles, mainly on schizophrenia, major depression, autism spectrum disorders, and bipolar disorder. While this review shows how MR can offer unique opportunities for unraveling causal links in risk factors and etiological elements of specific psychiatric diseases and transdiagnostically, some methodological flaws in the existing literature limit reliability of results and probably underlie their heterogeneity. We highlight perspectives and recommendations for future works on MR in psychiatry.