Sven van der Lee, Julie Williams, Gerard Schellenberg and colleagues identify rare coding variants in PLCG2, ABI3 and TREM2 associated with Alzheimer's disease. These genes are highly expressed in microglia and provide additional evidence that the microglia-mediated immune response contributes to the development of Alzheimer's disease. We identified rare coding variants associated with Alzheimer's disease in a three-stage case–control study of 85,133 subjects. In stage 1, we genotyped 34,174 samples using a whole-exome microarray. In stage 2, we tested associated variants (P < 1 × 10−4) in 35,962 independent samples using de novo genotyping and imputed genotypes. In stage 3, we used an additional 14,997 samples to test the most significant stage 2 associations (P < 5 × 10−8) using imputed genotypes. We observed three new genome-wide significant nonsynonymous variants associated with Alzheimer's disease: a protective variant in PLCG2 (rs72824905: p.Pro522Arg, P = 5.38 × 10−10, odds ratio (OR) = 0.68, minor allele frequency (MAF)cases = 0.0059, MAFcontrols = 0.0093), a risk variant in ABI3 (rs616338: p.Ser209Phe, P = 4.56 × 10−10, OR = 1.43, MAFcases = 0.011, MAFcontrols = 0.008), and a new genome-wide significant variant in TREM2 (rs143332484: p.Arg62His, P = 1.55 × 10−14, OR = 1.67, MAFcases = 0.0143, MAFcontrols = 0.0089), a known susceptibility gene for Alzheimer's disease. These protein-altering changes are in genes highly expressed in microglia and highlight an immune-related protein–protein interaction network enriched for previously identified risk genes in Alzheimer's disease. These genetic findings provide additional evidence that the microglia-mediated innate immune response contributes directly to the development of Alzheimer's disease.