To date, genome-wide association studies have identified thousands of statistically-significant associations between genetic variants, and phenotypes related to a myriad of traits and diseases. A key goal for human-genetics research is to translate these associations into functional mechanisms. Popular gene-set analysis tools, like MAGMA, map variants to genes they might affect, and then integrate genome-wide association study data (that is, variant-level associations for a phenotype) to score genes for association with a phenotype. Gene scores are subsequently used in competitive gene-set analyses to identify biological processes that are enriched for phenotype association. By default, variants are mapped to genes in their proximity. However, many variants that affect phenotypes are thought to act at regulatory elements, which can be hundreds of kilobases away from their target genes. Thus, we explored the idea of augmenting a proximity-based mapping scheme with publicly-available datasets of regulatory interactions. We used MAGMA to analyze genome-wide association study data for ten different phenotypes, and evaluated the effects of augmentation by comparing numbers, and identities, of genes and gene sets detected as statistically significant between mappings. We detected several pitfalls and confounders of such “augmented analyses”, and introduced ways to control for them. Using these controls, we demonstrated that augmentation with datasets of regulatory interactions only occasionally strengthened the enrichment for phenotype association amongst (biologically-relevant) gene sets for different phenotypes. Still, in such cases, genes and regulatory elements responsible for the improvement could be pinpointed. For instance, using brain regulatory-interactions for augmentation, we were able to implicate two acetylcholine receptor subunits involved in post-synaptic chemical transmission, namely CHRNB2 and CHRNE, in schizophrenia. Collectively, our study presents a critical approach for integrating regulatory interactions into gene-set analyses for genome-wide association study data, by introducing various controls to distinguish genuine results from spurious discoveries.