In this article, we propose Bayesian analysis of mediation effects. Compared with conventional frequentist mediation analysis, the Bayesian approach has several advantages. First, it allows researchers to incorporate prior information into the mediation analysis, thus potentially improving the efficiency of estimates. Second, under the Bayesian mediation analysis, inference is straightforward and exact, which makes it appealing for studies with small samples. Third, the Bayesian approach is conceptually simpler for multilevel mediation analysis. Simulation studies and analysis of 2 data sets are used to illustrate the proposed methods. (Contains 4 tables and 8 figures.)