In this paper, we have extended univariable MR‐Egger to the multivariable setting and outlined the assumptions required to obtain consistent causal estimates in the presence of directional pleiotropy. Multivariable MR‐Egger should be viewed as a sensitivity analysis to provide robustness against both measured and unmeasured pleiotropy and to strengthen the evidence from the original MR analysis. If the causal estimate from multivariable MR‐Egger is substantially different from the estimate obtained in the original analysis, then further investigation into the causal finding and the potential for pleiotropy is required.