Triglycerides are transported in plasma by specific triglyceride-rich lipoproteins; in epidemiological studies, increased triglyceride levels correlate with higher risk for coronary artery disease (CAD). However, it is unclear whether this association reflects causal processes. We used 185 common variants recently mapped for plasma lipids (P < 5 × 10−8 for each) to examine the role of triglycerides in risk for CAD. First, we highlight loci associated with both low-density lipoprotein cholesterol (LDL-C) and triglyceride levels, and we show that the direction and magnitude of the associations with both traits are factors in determining CAD risk. Second, we consider loci with only a strong association with triglycerides and show that these loci are also associated with CAD. Finally, in a model accounting for effects on LDL-C and/or high-density lipoprotein cholesterol (HDL-C) levels, the strength of a polymorphism’s effect on triglyceride levels is correlated with the magnitude of its effect on CAD risk. These results suggest that triglyceride-rich lipoproteins causally influence risk for CAD.