We aimed to examine rates of breast and cervical cancer screening in women with immune-mediated inflammatory diseases (IMID), including inflammatory bowel disease (IBD), multiple sclerosis (MS) and rheumatoid arthritis (RA) versus a matched cohort with IMID; and examine the association of psychiatric comorbidity with screening in these populations. We conducted a retrospective cohort study in Manitoba, Canada using administrative data. We identified women with IBD, MS and RA, and controls without these IMID matched on age and region. Annually, we identified individuals with any active mood/anxiety disorder. Using physician claims, we determined the proportion of each cohort who had cervical cancer screening within three-year intervals, and mammography screening within two-year intervals. We modeled the difference in the proportion of the IMID and matched cohorts who underwent mammography; and pap tests using log-binomial regression with generalized estimating equations, adjusting for sociodemographics, comorbidity and immune therapy use. We tested for additive interactions between cohort and mood/anxiety disorder status. During 2006–2016, we identified 17,230 women with IMID (4,623 with IBD, 3,399 with MS, and 9,458 with RA) and 85,349 matched controls. Having an IMID was associated with lower (-1%) use of mammography; however, this reflected a mixture of more mammography in the IBD cohort (+2.9%) and less mammography in the MS (-4.8 to -5.2%) and RA (-1.5%) cohorts. Within the IBD, MS and RA cohorts, having an active mood/anxiety disorder was associated with more mammography use than having an inactive mood/anxiety disorder. The MS and RA cohorts were less likely to undergo Pap testing than their matched cohorts. In the absence of an active mood/anxiety disorder, the IBD cohort was more likely to undergo Pap testing than its matched cohort; the opposite was true when an active mood/anxiety disorder was present. Among women with an IMID, mood/anxiety disorder influence participation in cancer screening.