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Facilitated by messaging protocols (MP), many home devices are connected to the Internet, bringing convenience and accessibility to customers. However, most deployed MPs on IoT platforms are fragmented and are not implemented carefully to support secure communication. To the best of our knowledge, there is no systematic solution to perform automatic security checks on MP implementations yet. To bridge the gap, we present MPInspector, the first automatic and systematic solution for vetting the security of MP implementations. MPInspector combines model learning with formal analysis and operates in three stages: (a) using parameter semantics extraction and interaction logic extraction to automatically infer the state machine of an MP implementation, (b) generating security properties based on meta properties and the state machine, and (c) applying automatic property based formal verification to identify property violations. We evaluate MPInspector on three popular MPs, including MQTT, CoAP and AMQP, implemented on nine leading IoT platforms. It identifies 252 property violations, leveraging which we further identify eleven types of attacks under two realistic attack scenarios. In addition, we demonstrate that MPInspector is lightweight (the average overhead of end-to-end analysis is ~4.5 hours) and effective with a precision of 100% in identifying property violations.