Causal genes and variants within genome-wide association study (GWAS) loci can be identified by integrating GWAS statistics with expression quantitative trait loci (eQTL) and determining which variants underlie both GWAS and eQTL signals. Most analyses, however, consider only the marginal eQTL signal, rather than dissect this signal into multiple conditionally independent signals for each gene. Here we show that analyzing conditional eQTL signatures, which could be important under specific cellular or temporal contexts, leads to improved fine mapping of GWAS associations. Using genotypes and gene expression levels from post-mortem human brain samples (n = 467) reported by the CommonMind Consortium (CMC), we find that conditional eQTL are widespread; 63% of genes with primary eQTL also have conditional eQTL. In addition, genomic features associated with conditional eQTL are consistent with context-specific (e.g., tissue-, cell type-, or developmental time point-specific) regulation of gene expression. Integrating the 2014 Psychiatric Genomics Consortium schizophrenia (SCZ) GWAS and CMC primary and conditional eQTL data reveals 40 loci with strong evidence for co-localization (posterior probability > 0.8), including six loci with co-localization of conditional eQTL. Our co-localization analyses support previously reported genes, identify novel genes associated with schizophrenia risk, and provide specific hypotheses for their functional follow-up.