Background: Several recent studies have suggested a role for infections in the development of mental disorders; however, the genetic contribution to this association is understudied. Methods: We use the iPSYCH case-cohort genotyped sample (n = 65,534) and Danish health care registry data to study the genetic association between infections and mental disorders. To test the hypothesis that these associations are due to genetic pleiotropy, we estimated the genetic correlation between infection and mental disorders. Polygenic risk scores (PRSs) were used to assess whether genetic pleiotropy of infections and mental disorders was mediated by actual infection diagnoses. Results: We observed that schizophrenia, attention-deficit/hyperactivity disorder, major depressive disorder, bipolar disorder, and posttraumatic stress disorder (r_g ranging between 0.18 and 0.83), but not autism spectrum disorder and anorexia nervosa, were significantly genetically correlated with infection diagnoses. PRSs for infections were associated with modest increase in risk of attention-deficit/hyperactivity disorder, major depressive disorder, and schizophrenia in the iPSYCH case-cohort (hazard ratios = 1.04 to 1.10) but was not associated with risk of anorexia, autism, or bipolar disorder. Using mediation analysis, we show that infection diagnoses account for only a small proportion (6%–14%) of the risk for mental disorders conferred by infection PRSs. Conclusions: Infections and mental disorders share a modest genetic architecture. Infection PRSs can predict risk of certain mental disorders; however, this effect is moderate. Finally, recorded infections partially explain the relationship between infection PRSs and mental disorders.