Background: The extent to which effects of BMI on coronary heart disease (CHD) are mediated by gylcaemic and lipid risk factors is unclear. Methods: We used two-sample Mendelian randomization to determine the causal effect of: (i) BMI on CHD (60,801 cases; 123, 504 controls), type 2 diabetes (T2DM; 34,840 cases; 114,981 controls), fasting glucose (n=46,186), insulin (n=38,238), HbA1c (n=46,368), LDL-cholesterol (LDL-C), HDL-cholesterol (HDL-C) and triglycerides (n=188,577); (ii) glycaemic and lipids traits on CHD; and (iii) extent to which these traits mediated any effect of BMI on CHD. Findings: One standard deviation (SD) increase in BMI (~ 4.5kg/m2) increased CHD (odds ratio=1.45 (95% confidence interval (CI): 1.27, 1.66)) and T2DM (1.96 (1.35, 2.83)), and levels of fasting glucose (0.07mmol/l (95%CI 0.03, 0.11)), HbA1c (0.05% (95%CI 0.01, 0.08)), fasting insulin (0.18log pmol/l (95%CI 0.14, 0.22)) and triglycerides (0.20 SD (95%CI 0.14, 0.26)), and lowered levels of HDL-C (-0.23 SD (95%CI -0.32, -0.15)). BMI was not causally related to LDL-C. After accounting for potential pleiotropy, triglycerides, HbA1c and T2DM were causally related to CHD. The BMI-CHD effect reduced from 1.45 to 1.16 (95%CI 0.99, 1.36) and to 1.36 (95%CI 1.19, 1.57) with genetic adjustment for triglycerides or HbA1c respectively, and to 1.09 (95%CI 0.94, 1.27) with adjustment for both. Interpretation: Increased triglyceride levels and poor glycaemic control appear to mediate much of the effect of BMI on CHD.