Background: Previous evidence informed by the toxic stress model suggests that higher cortisol causes anxiety and major depression, but clinical success is lacking. To clarify the role of cortisol, we used Mendelian randomization to estimate its associations with anxiety, major depression, and neuroticism, leveraging the largest available genome-wide association studies including from the Psychiatric Genomics Consortium, the UK Biobank, and FinnGen. Methods: After meta-analyzing 2 genome-wide association studies on morning plasma cortisol (n = 32,981), we selected single nucleotide polymorphisms (SNPs) at p < 5 × 10 and r < 0.3 in the SERPINA6/SERPINA1 gene region encoding proteins that influence cortisol bioavailability. We applied these SNPs to summary genetic associations with the outcomes considered (n = 17,310–449,484), and systolic blood pressure as a positive outcome, using inverse-variance weighted meta-analysis accounting for correlation. Sensitivity analyses addressing SNP correlation and confounding by childhood maltreatment and follow-up analyses using only SNPs that colocalized with SERPINA6 expression were conducted. Results: Cortisol was associated with anxiety (pooled odds ratio [OR] 1.16 per cortisol z score; 95% CI, 1.04 to 1.31), but not major depression (pooled OR 1.02, 95% CI, 0.95 to 1.10) or neuroticism (β −0.025; 95% CI, −0.071 to 0.022). Sensitivity analyses yielded similar estimates. Cortisol was positively associated with systolic blood pressure, as expected. Using rs9989237 and rs2736898, selected using colocalization, cortisol was associated with anxiety in the UK Biobank (OR 1.32; 95% CI, 1.01 to 1.74) but not with major depression in FinnGen (OR 1.14; 95% CI, 0.95 to 1.37). Conclusions: Cortisol was associated with anxiety and may be a potential target for prevention. Other targets may be more relevant to major depression and neuroticism.