Mercury is gaining prominence as a proxy for large igneous province (LIP) volcanism in the sedimentary record. Despite temporal overlap between some mass extinctions and LIPs, the precise timing of magmatism relative to major ecological and environmental change is difficult to untangle, especially in marine settings. Changes in the relative contents of Hg in sedimentary rocks through time, or ‘Hg anomalies’, can help resolve the timing of LIP activity and marine extinctions. However, major questions remain unanswered about the fidelity of Hg as a proxy for LIP magmatism. In particular, depositional (e.g., redox) and post-depositional (e.g., oxidative weathering) processes can affect Hg preservation in marine sediments. These factors pose challenges for confidently using Hg as a fingerprint of volcanism. Here, we use the Hg anomaly at the Triassic–Jurassic boundary to explore the opportunities and challenges associated with two approaches that may help build a more robust interpretation of the Hg proxy: (1) measurements of sediments from diverse depositional environments, including lithologies with low Hg and organic carbon content, and (2) the simultaneous use of Hg stable isotope ratios. We present and compare Hg records from five geographically disparate Upper Triassic–Lower Jurassic marine sections that represent nearshore, mid-shelf, deep-water, and carbonate platform settings. These sedimentary sections span the emplacement of the Central Atlantic magmatic province (CAMP) and the associated end–Triassic extinction (ETE). Total organic carbon contents, carbonate contents, and Hg contents and stable isotope compositions demonstrate the multiple ways in which different depositional environments impact how Hg anomalies are expressed in ancient marine sedimentary rocks. Although we observe an increase in Hg/TOC during the ETE in each section, the pattern and duration of Hg enrichment differ notably between sections, and the timing is not always coincident with CAMP activity, illustrating how the depositional filter complicates the use of Hg/TOC ratios alone as a fingerprint of LIP magmatism. Importantly, Hg isotope measurements support a volcanic origin for the Hg anomalies during the ETE, suggesting CAMP was the Hg source during the extinction interval. These data support the use of Hg isotopes to help distinguish Hg loading that results from LIP magmatism on a global scale and emphasize the importance of making Hg proxy measurements from diverse depositional environments.