Previous studies have found increased smoking prevalence amongst adults with anorexia nervosa (AN) compared to the general population. The current investigation explored bidirectional associations between AN and smoking behaviour (initiation and heaviness), to address questions surrounding causation. In Study One, logistic regression models with variance robust standard errors assessed longitudinal associations between AN and smoking, using data from adolescent participants of the Avon Longitudinal Study of Parents and Children (N= 5100). In Study Two, two-sample Mendelian randomisation (MR) tested possible causal effects using summary statistics from publicly available genome-wide association studies (GWAS). Study One provided no clear evidence for a predictive effect of AN on subsequent smoking behaviour, or for smoking heaviness/initiation predicting later AN. MR findings did not support causal effects between AN and smoking behaviour, in either direction. Findings do not support predictive or causal effects between AN and smoking behaviour. Previously reported associations may have been vulnerable to confounding, highlighting the possibility of smoking and AN sharing causal risk factors.Supplementary InformationThe online version contains supplementary material available at 10.1007/s00787-021-01918-z.