Despite the success of genome-wide association studies (GWAS) in detecting a large number of loci for complex phenotypes such as rheumatoid arthritis (RA) susceptibility, the lack of information on the causal genes leaves important challenges to interpret GWAS results in the context of the disease biology. Here, we genetically fine-map the RA risk locus at 19p13 to define causal variants, and explore the pleiotropic effects of these same variants in other complex traits. First, we combined Immunochip dense genotyping (n = 23,092 case/control samples), Exomechip genotyping (n = 18,409 case/control samples) and targeted exon-sequencing (n = 2,236 case/controls samples) to demonstrate that three protein-coding variants in TYK2 (tyrosine kinase 2) independently protect against RA: P1104A (rs34536443, OR = 0.66, P = 2.3x10^-21), A928V (rs35018800, OR = 0.53, P = 1.2x10^-9), and I684S (rs12720356, OR = 0.86, P = 4.6x10^-7). Second, we show that the same three TYK2 variants protect against systemic lupus erythematosus (SLE, P_omnibus = 6x10^-18), and provide suggestive evidence that two of the TYK2 variants (P1104A and A928V) may also protect against inflammatory bowel disease (IBD; P_omnibus = 0.005). Finally, in a phenome-wide association study (PheWAS) assessing >500 phenotypes using electronic medical records (EMR) in >29,000 subjects, we found no convincing evidence for association of P1104A and A928V with complex phenotypes other than autoimmune diseases such as RA, SLE and IBD. Together, our results demonstrate the role of TYK2 in the pathogenesis of RA, SLE and IBD, and provide supporting evidence for TYK2 as a promising drug target for the treatment of autoimmune diseases.