Epidemiological studies indicate that many immune diseases occur at different rates among people with schizophrenia compared to the general population. Here, we evaluated whether this phenotypic correlation between immune diseases and schizophrenia might be explained by shared genetic risk factors (genetic correlation). We used data from a large genome-wide association study (GWAS) of schizophrenia (N=35,476 cases and 46,839 controls) to compare the genetic architecture of schizophrenia to 19 immune diseases. First, we evaluated the association with schizophrenia of 581 variants previously reported to be associated with immune diseases at genome-wide significance. We identified three variants with pleiotropic effects, located in regions associated with both schizophrenia and immune disease. Our analyses provided the strongest evidence of pleiotropy at rs1734907 (~85kb upstream of EPHB4), a variant which was associated with increased risk of both Crohn's disease (OR = 1.16, P = 1.67x10-13) and schizophrenia (OR = 1.07, P = 7.55x10-6). Next, we investigated genome-wide sharing of common variants between schizophrenia and immune diseases using polygenic risk scores (PRS) and cross-trait LD Score regression (LDSC). PRS revealed significant genetic overlap with schizophrenia for narcolepsy (p=4.1x10-4), primary biliary cirrhosis (p=1.4x10-8), psoriasis (p=3.6x10-5), systemic lupus erythematosus (p=2.2x10-8), and ulcerative colitis (p=4.3x10-4). Genetic correlations between these immune diseases and schizophrenia, estimated using LDSC, ranged from 0.10 to 0.18 and were consistent with the expected phenotypic correlation based on epidemiological data. We also observed suggestive evidence of sex-dependent genetic correlation between schizophrenia and multiple sclerosis (interaction p=0.02), with genetic risk scores for multiple sclerosis associated with greater risk of schizophrenia among males but not females. Our findings suggest that shared genetic risk factors contribute to the epidemiological co-occurrence of schizophrenia and certain immune diseases, and suggest that in some cases this genetic correlation is sex-dependent.