Whilst observational studies establish that lower plasma 25-hydroxyvitamin D (25-OHD) levels are associated with higher risk of colorectal cancer (CRC), establishing causality has proven challenging. Since vitamin D is modifiable, these observations have substantial clinical and public health implications. Indeed, many health agencies already recommend supplemental vitamin D. Here, we explore causality in a large Mendelian randomisation (MR) study using an improved genetic instrument for circulating 25-OHD. We developed a weighted genetic score for circulating 25-OHD using six genetic variants that we recently reported to be associated with circulating 25-OHD in a large genome-wide association study (GWAS) meta-analysis. Using this score as instrumental variable in MR analyses, we sought to determine whether circulating 25-OHD is causally linked with CRC risk. We conducted MR analysis using individual-level data from 10,725 CRC cases and 30,794 controls (Scotland, UK Biobank and Croatia). We then applied estimates from meta-analysis of 11 GWAS of CRC risk (18,967 cases; 48,168 controls) in a summary statistics MR approach. The new genetic score for 25-OHD was strongly associated with measured plasma 25-OHD levels in 2821 healthy Scottish controls (P = 1.47 × 10 ), improving upon previous genetic instruments (F-statistic 46.0 vs. 13.0). However, individual-level MR revealed no association between 25-OHD score and CRC risk (OR 1.03/unit log-transformed circulating 25-OHD, 95% CI 0.51-2.07, P = 0.93). Similarly, we found no evidence for a causal relationship between 25-OHD and CRC risk using summary statistics MR analysis (OR 0.91, 95% CI 0.69-1.19, P = 0.48). Despite the scale of this study and employing an improved score capturing more of the genetic contribution to circulating 25-OHD, we found no evidence for a causal relationship between circulating 25-OHD and CRC risk. Although the magnitude of effect for vitamin D suggested by observational studies can confidently be excluded, smaller effects sizes and non-linear relationships remain plausible. Circulating vitamin D may be a CRC biomarker, but a causal effect on CRC risk remains unproven.