Genome-wide association studies have transformed psychiatric genetics and provided novel insights into the genetic etiology of psychiatric disorders. Two major discoveries have emerged; the disorders are polygenic, with a large number of common variants each with a small effect and many genetic variants influence more than one phenotype, suggesting shared genetic etiology. These concepts have the potential to revolutionize the current classification system with diagnostic categories and facilitate development of better treatments. However, to reach clinical impact, we need larger samples and better analytical tools, as most polygenic factors remain undetected. We here present statistical approaches designed to improve the yield of existing genome-wide association studies for polygenic phenotypes. We review how these tools have informed the current knowledge on the genetic architecture of psychiatric disorders, focusing on schizophrenia, bipolar disorder and major depression, and overlap with psychological and cognitive traits. We discuss application of statistical tools for stratification and prediction.