Mendelian randomization (MR) is an established approach to evaluate the effect of an exposure on an outcome. The gene-by-environment (GxE) study design can be used to determine whether the genetic instrument affects the outcome through pathways other than via the exposure of interest (horizontal pleiotropy). MR phenome-wide association studies (MR-pheWAS) search for the effects of an exposure, and can be conducted in UK Biobank using the PHESANT package. In this proof-of-principle study, we introduce the novel GxE MR-pheWAS approach, that combines MR-pheWAS with the use of GxE interactions. This method aims to identify the presence of effects of an exposure while simultaneously investigating horizontal pleiotropy. We systematically test for the presence of causal effects of smoking heaviness-stratifying on smoking status (ever versus never)-as an exemplar. If a genetic variant is associated with smoking heaviness (but not smoking initiation), and this variant affects an outcome (at least partially) via tobacco intake, we would expect the effect of the variant on the outcome to differ in ever versus never smokers. We used PHESANT to test for the presence of effects of smoking heaviness, instrumented by genetic variant rs16969968, among never and ever smokers respectively, in UK Biobank. We ranked results by the strength of interaction between ever and never smokers. We replicated previously established effects of smoking heaviness, including detrimental effects on lung function. Novel results included a detrimental effect of heavier smoking on facial aging. We have demonstrated how GxE MR-pheWAS can be used to identify potential effects of an exposure, while simultaneously assessing whether results may be biased by horizontal pleiotropy.