Epidemiology studies suggest associations between schizophrenia and cancer. However, the underlying genetic mechanisms are not well understood, and difficult to identify from epidemiological data. We investigated if there is a shared genetic architecture between schizophrenia and cancer, with the aim to identify specific overlapping genetic loci. First, we performed genome-wide enrichment analysis and second, we analyzed specific loci jointly associated with schizophrenia and cancer by the conjunction false discovery rate. We analyzed the largest genome-wide association studies of schizophrenia and lung, breast, prostate, ovary, and colon-rectum cancer including more than 220,000 subjects, and included genetic association with smoking behavior. Polygenic enrichment of associations with lung cancer was observed in schizophrenia, and weak enrichment for the remaining cancer sites. After excluding the major histocompatibility complex region, we identified three independent loci jointly associated with schizophrenia and lung cancer. The strongest association included nicotinic acetylcholine receptors and is an established pleiotropic locus shared between lung cancer and smoking. The two other loci were independent of genetic association with smoking. Functional analysis identified downstream pleiotropic effects on epigenetics and gene-expression in lung and brain tissue. These findings suggest that genetic factors may explain partly the observed epidemiological association of lung cancer and schizophrenia.