Genome-wide association studies (GWAS) have been performed for many psychiatric disorders and revealed a complex polygenic architecture linking mental and physical health phenotypes. Psychiatric diagnoses are often heterogeneous, and several layers of trait heterogeneity may contribute to detection of genetic risks per disorder or across multiple disorders. In this review, we discuss these heterogeneities and their consequences on the discovery of risk loci using large-scale genetic data. We primarily highlight the ways in which sex and diagnostic complexity contribute to risk locus discovery in schizophrenia, bipolar disorder, attention deficit hyperactivity disorder, autism spectrum disorder, posttraumatic stress disorder, major depressive disorder, obsessive-compulsive disorder, Tourette's syndrome and chronic tic disorder, anxiety disorders, suicidality, feeding and eating disorders, and substance use disorders. Genetic data also have facilitated discovery of clinically relevant subphenotypes also described here. Collectively, GWAS of psychiatric disorders revealed that the understanding of heterogeneity, polygenicity, and pleiotropy is critical to translate genetic findings into treatment strategies.