AbstractSmoking and caffeine consumption show a strong positive correlation, but the mechanism underlying this association is unclear. Explanations include shared genetic/environmental factors or causal effects. This study employed three methods to investigate the association between smoking and caffeine. First, bivariate genetic models were applied to data of 10 368 twins from the Netherlands Twin Register in order to estimate genetic and environmental correlations between smoking and caffeine use. Second, from the summary statistics of meta‐analyses of genome‐wide association studies on smoking and caffeine, the genetic correlation was calculated by LD‐score regression. Third, causal effects were tested using Mendelian randomization analysis in 6605 Netherlands Twin Register participants and 5714 women from the Avon Longitudinal Study of Parents and Children. Through twin modelling, a genetic correlation of r0.47 and an environmental correlation of r0.30 were estimated between current smoking (yes/no) and coffee use (high/low). Between current smoking and total caffeine use, this was r0.44 and r0.00, respectively. LD‐score regression also indicated sizeable genetic correlations between smoking and coffee use (r0.44 between smoking heaviness and cups of coffee per day, r0.28 between smoking initiation and coffee use and r0.25 between smoking persistence and coffee use). Consistent with the relatively high genetic correlations and lower environmental correlations, Mendelian randomization provided no evidence for causal effects of smoking on caffeine or vice versa. Genetic factors thus explain most of the association between smoking and caffeine consumption. These findings suggest that quitting smoking may be more difficult for heavy caffeine consumers, given their genetic susceptibility.