Small vessel strokes (SVS) and intracerebral haemorrhages (ICH) are acute outcomes of cerebral small vessel disease (SVD). Genetic studies combining both phenotypes have identified three loci associated with both traits. However, the genetic cis-regulation at the protein level associated with SVD has not been studied before. We performed a proteome-wide association study (PWAS) using FUSION to integrate a genome-wide association study (GWAS) and brain proteomic data to discover the common mechanisms regulating both SVS and ICH. Dorsolateral prefrontal cortex (dPFC) brain proteomes from the ROS/MAP study (N = 376 subjects and 1443 proteins) and the summary statistics for the SVS GWAS from the MEGASTROKE study (N = 237,511) and multi-trait analysis of GWAS (MTAG)-ICH–SVS from Chung et al. (N = 240,269) were selected. We performed PWAS and then a co-localization analysis with COLOC. The significant and nominal results were validated using a replication dPFC proteome (N = 152). The replicated results (q-value < 0.05) were further investigated for the causality relationship using summary data-based Mendelian randomization (SMR). One protein (ICA1L) was significantly associated with SVS (z-score = −4.42 and p-value = 9.6 × 10−6) and non-lobar ICH (z-score = −4.8 and p-value = 1.58 × 10−6) in the discovery PWAS, with a high co-localization posterior probability of 4. In the validation PWAS, ICA1L remained significantly associated with both traits. The SMR results for ICA1L indicated a causal association of protein expression levels in the brain with SVS (p-value = 3.66 × 10−5) and non-lobar ICH (p-value = 1.81 × 10−5). Our results show that the association of ICA1L with SVS and non-lobar ICH is conditioned by the cis-regulation of its protein levels in the brain.