Genome-wide association studies of Systemic Lupus Erythematosus (SLE) nominate 3,073 genetic variants at 91 risk loci. To systematically screen these variants for allelic transcriptional enhancer activity, we constructed a massively parallel reporter assay (MPRA) library comprising 12,396 DNA oligonucleotides containing the genomic context around every allele of each SLE variant. Transfection into EBV-infected B cells revealed 482 variants with enhancer activity, with 51 variants showing genotype-dependent (allelic) enhancer activity at 27 risk loci. In-depth analysis of allelic transcription factor (TF) binding at and around these 51 variants identified one class of TFs whose DNA-binding motif tends to be directly altered by the risk variant and a second, larger class of TFs that also bind allelically but do not have their motifs directly altered by the variant. Collectively, our approach provides a blueprint for the discovery of allelic gene regulation at risk loci for any disease and offers insight into the transcriptional regulatory mechanisms underlying SLE.