We explore interpretations of the anomaly observed by H1 and ZEUS at HERA in deep-inelastic e(+)p scattering at very large Q(2), in terms of possible physics beyond the Standard Model. Since the present data could be compatible with either a continuum or a resonant solution, we discuss both the possibilities of new effective interactions and the production of a narrow state of mass M similar to 200 GeV with leptoquark couplings. We compare these models with the measured Q(2) distributions: for the contact terms, constraints from LEP 2 and the Tevatron allow only a few choices of helicity and flavour structure that could roughly fit the HERA data. The data are instead quite consistent with the Q(2) distribution expected from a leptoquark state. We study the production cross sections of such a particle at the Tevatron and at HERA, the latter in the cases where it is produced from either a valence or a sea quark. The absence of a signal at the Tevatron disfavours the Likelihood that any such leptoquark decays only into e(+)q. We then focus on the possibility that the leptoquark is a squark with R-violating couplings. In view of the present experimental limits on such couplings, the most likely production channels are e(+)d --> (C) over tilde(L) or perhaps e(+)d --> (t) over tilde, with e(+)s --> (t) over tilde a more marginal possibility. We point out that the (C) over tilde(L) could have competing branching ratios for R-conserving and R-violating decay channels, whereas (t) over tilde decays would be more likely to be dominated by one or the other. Possible tests of our preferred model include the absence both of analogous events in e(-)p collisions and of charged current events, and the presence of detectable cascade decays whose kinematical signatures we discuss. This model could also make an observable contribution to K --> pi<(nu)over bar>nu and/or neutrinoless beta beta decay. We also discuss the possible implications for the Tevatron and for e(+)e(-) --> (q) over bar q and neutralinos at LEP 2. (C) 1997 Elsevier Science B.V.