Genome-wide association (GWA) studies have identified numerous, replicable, genetic associations between common single nucleotide polymorphisms (SNPs) and risk of common autoimmune and inflammatory (immune-mediated) diseases, some of which are shared between two diseases. Along with epidemiological and clinical evidence, this suggests that some genetic risk factors may be shared across diseases-as is the case with alleles in the Major Histocompatibility Locus. In this work we evaluate the extent of this sharing for 107 immune disease-risk SNPs in seven diseases: celiac disease, Crohn's disease, multiple sclerosis, psoriasis, rheumatoid arthritis, systemic lupus erythematosus, and type 1 diabetes. We have developed a novel statistic for Cross Phenotype Meta-Analysis (CPMA) which detects association of a SNP to multiple, but not necessarily all, phenotypes. With it, we find evidence that 47/107 (44%) immune-mediated disease risk SNPs are associated to multiple-but not all-immune-mediated diseases (SNP-wise P(CPMA)<0.01). We also show that distinct groups of interacting proteins are encoded near SNPs which predispose to the same subsets of diseases; we propose these as the mechanistic basis of shared disease risk. We are thus able to leverage genetic data across diseases to construct biological hypotheses about the underlying mechanism of pathogenesis.