Use of substances such as cannabis, alcohol, and tobacco, has been associated with increased risk of suicide attempt in several observational studies. However, establishing whether these associations are causal is challenging when using observational designs. To evaluate the potential causal contributions of cannabis use, alcohol use, and tobacco smoking to suicide attempt, we applied two-sample Mendelian randomization, an instrumental variable approach using single-nucleotide polymorphisms (SNPs) as instrumental variables for three exposures: lifetime cannabis use (yes/no; 42 instrument SNPs; GWAS sample size [N] = 162,082), alcohol use (drinks-per-week; 53 instrument SNPs; N = 941,280), and tobacco smoking (initiation, yes/no; 156 instrument SNPs; N = 1,232,091; heaviness; 27 instrument SNPs; N = 337,334). The main outcome was suicide attempt measured from hospital records (N = 50,264). All data come from publicly available summary statistics of genome-wide association studies of participants of European ancestry. We found evidence supporting a possible causal role of cannabis (OR = 1.18; 95% CI = 1.01–1.37, P = 0.032), alcohol (OR = 1.95; 95% CI = 1.15–3.32, P = 0.013), and smoking (initiation, OR = 1.90; 95% CI = 1.54–2.34, P < 0.001; heaviness, OR = 2.13; 95% CI = 1.13–3.99; P = 0.019) on suicide attempt. Using multivariable Mendelian randomization, we found that only cannabis showed a direct pathway to suicide attempt (P = 0.001), suggesting that the effect of alcohol and smoking was mediated by the other substance use phenotypes. No evidence was found for reverse causation, i.e., associations of suicide attempt on cannabis (P = 0.483), alcohol (P = 0.234), smoking initiation (P = 0.144), and heaviness (P = 0.601). In conclusion, evidence from this quasi-experimental study based on genetic data from large-scale GWASs are consistent with a causal role of cannabis, alcohol, and tobacco smoking on suicide attempt.