We identified rare coding variants associated with Alzheimer's disease in a three-stage case-control study of 85,133 subjects. In stage 1, we genotyped 34,174 samples using a whole-exome microarray. In stage 2, we tested associated variants (P < 1 × 10-4) in 35,962 independent samples using de novo genotyping and imputed genotypes. In stage 3, we used an additional 14,997 samples to test the most significant stage 2 associations (P < 5 × 10-8) using imputed genotypes. We observed three new genome-wide significant nonsynonymous variants associated with Alzheimer's disease: a protective variant in PLCG2 (rs72824905: p.Pro522Arg, P = 5.38 × 10-10, odds ratio (OR) = 0.68, minor allele frequency (MAF)cases = 0.0059, MAFcontrols = 0.0093), a risk variant in ABI3 (rs616338: p.Ser209Phe, P = 4.56 × 10-10, OR = 1.43, MAFcases = 0.011, MAFcontrols = 0.008), and a new genome-wide significant variant in TREM2 (rs143332484: p.Arg62His, P = 1.55 × 10-14, OR = 1.67, MAFcases = 0.0143, MAFcontrols = 0.0089), a known susceptibility gene for Alzheimer's disease. These protein-altering changes are in genes highly expressed in microglia and highlight an immune-related protein-protein interaction network enriched for previously identified risk genes in Alzheimer's disease. These genetic findings provide additional evidence that the microglia-mediated innate immune response contributes directly to the development of Alzheimer's disease.