ABSTRACT Background Attention-deficit hyperactivity disorder (ADHD) has consistently been associated with substance (ab)use, but the nature of this association is not fully understood. In view of preventive efforts, a vital question is whether there are causal effects, from ADHD to substance use and/or from substance use to ADHD. Methods We applied bidirectional Mendelian randomization using summary-level data from the largest available genome-wide association studies (GWASs) on ADHD, smoking (initiation, cigarettes/day, cessation, and a compound measure of lifetime smoking), alcohol use (drinks/week and alcohol use disorder), cannabis use (initiation and cannabis use disorder (CUD)) and coffee consumption (cups/day). Genetic variants robustly associated with the ‘exposure’ were selected as instruments and then identified in the ‘outcome’ GWAS. Effect estimates from individual genetic variants were combined with inverse-variance weighted regression and five sensitivity analyses were applied (weighted median, weighted mode, MR-Egger, generalized summary-data-based MR, and Steiger filtering). Results We found strong evidence that liability to ADHD increases likelihood of smoking initiation and also cigarettes per day among smokers, decreases likelihood of smoking cessation, and increases likelihood of cannabis initiation and CUD. In the other direction, there was evidence that liability to smoking initiation and CUD increase ADHD risk. There was no clear evidence of causal effects between liability to ADHD and alcohol or caffeine consumption. Conclusions We find evidence for causal effects of liability to ADHD on smoking and cannabis use, and of liability to smoking and cannabis use on ADHD risk, indicating bidirectional pathways. Further work is needed to explore causal mechanisms.