Genome-wide association studies (GWAS) have identified ~20 melanoma susceptibility loci, most of which are not functionally characterized. Here we report an approach integrating massively-parallel reporter assays (MPRA) with cell-type-specific epigenome and expression quantitative trait loci (eQTL) to identify susceptibility genes/variants from multiple GWAS loci. From 832 high-LD variants, we identify 39 candidate functional variants from 14 loci displaying allelic transcriptional activity, a subset of which corroborates four colocalizing melanocyte cis-eQTL genes. Among these, we further characterize the locus encompassing the HIV-1 restriction gene, MX2 (Chr21q22.3), and validate a functional intronic variant, rs398206. rs398206 mediates the binding of the transcription factor, YY1, to increase MX2 levels, consistent with the cis-eQTL of MX2 in primary human melanocytes. Melanocyte-specific expression of human MX2 in a zebrafish model demonstrates accelerated melanoma formation in a BRAFV600E background. Our integrative approach streamlines GWAS follow-up studies and highlights a pleiotropic function of MX2 in melanoma susceptibility.