Immune cell function can be altered by lipids in circulation, a process potentially relevant to lipid-associated inflammatory diseases including atherosclerosis and rheumatoid arthritis. To gain further insight in the molecular changes involved, we here perform a transcriptome-wide association analysis of blood triglycerides, HDL cholesterol, and LDL cholesterol in 3229 individuals, followed by a systematic bidirectional Mendelian randomization analysis to assess the direction of effects and control for pleiotropy. Triglycerides are found to induce transcriptional changes in 55 genes and HDL cholesterol in 5 genes. The function and cell-specific expression pattern of these genes implies that triglycerides downregulate both cellular lipid metabolism and, unexpectedly, allergic response. Indeed, a Mendelian randomization approach based on GWAS summary statistics indicates that several of these genes, including interleukin-4 (IL4) and IgE receptors (FCER1A, MS4A2), affect the incidence of allergic diseases. Our findings highlight the interplay between triglycerides and immune cells in allergic disease.