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Observers sometimes infer that a rotating lighthouse beam originates from a “phantom lighthouse” that lies in the opposite direction from the true source of the beam. We argue that this illusion arises from underestimating the distance of the remote parts of the beam. This underestimation is consistent with Bayesian inference based on natural scene statistics, and also explains why lighthouse beams are perceived as pointing down rather than parallel to the ground. Our theory makes the novel prediction that the phantom lighthouse illusion emerges at a critical point at which the observer is located around 67 metres in front of the true lighthouse, and we find support for this prediction in a virtual reality experiment. Although we focus on the phantom lighthouse illusion, our approach contributes to a broader body of work that explains perceptual phenomena (including visual illusions) in terms of Bayesian inference.