Epidemiological evidence is consistent with a protective effect of vitamin D against colorectal cancer (CRC), but the observed strong associations are open to confounders and potential reverse causation. Previous Mendelian randomisation (MR) studies were limited by poor genetic instruments and inadequate statistical power. Moreover, whether genetically higher CRC risk can influence vitamin D level, namely the reverse causation, still remains unknown. Herein, we report the first bi-directional MR study. We employed 110 newly-identified genetic variants as proxies for vitamin D to obtain unconfounded effect estimates on CRC risk in 26 397 CRC cases and 41 481 controls of European ancestry. To test for reserve causation, we estimated effects of 115 CRC-risk variants on vitamin D level amongst 417 580 participants from the UK Biobank. The causal association was estimated using the random-effect inverse-variance weighted (IVW) method. We found no significant causal effect of vitamin D on CRC risk (IVW estimate OR: 0.97, 95%CI: 0.88-1.07, P = 0.565). Similarly, no significant reverse causal association was identified between genetically increased CRC risk and vitamin D levels (IVW estimate β: -0.002, 95% CI: -0.008 to 0.004, P = 0.543). Stratified analysis by tumour sites did not identify significant causal associations in either direction between vitamin D and colon or rectal cancer. Despite the improved statistical power of this study, we found no evidence of causal association of either direction between circulating vitamin D and CRC risk. Significant associations reported by observational studies may be primarily driven by unidentified confounders.This article is protected by copyright. All rights reserved.