We aimed to systematically identify and evaluate all studies of good quality that compared the occurrence of mental disorders in the self-employed versus employees. Adhering to the Cochrane guidelines, we conducted a systematic review and searched three major medical databases (MEDLINE, Web of Science, Embase), complemented by hand search. We included 26 (three longitudinal and 23 cross-sectional) population-based studies of good quality (using a validated quality assessment tool), with data from 3,128,877 participants in total. The longest of these studies, a Swedish national register evaluation with 25 years follow-up, showed a higher incidence of mental illness among the self-employed compared to white-collar workers, but a lower incidence compared to blue-collar workers. In the second longitudinal study from Sweden the self-employed had a lower incidence of mental illness compared to both blue- and white-collar workers over 15 years, whereas the third longitudinal study (South Korea) did not find a difference regarding the incidence of depressive symptoms over 6 years. Results from the cross-sectional studies showed associations between self-employment and poor general mental health and stress, but were inconsistent regarding other mental outcomes. Most studies from South Korea found a higher prevalence of mental disorders among the self-employed compared to employees, whereas the results of cross-sectional studies from outside Asia were less consistent. In conclusion, we found evidence from population-based studies for a link between self-employment and increased risk of mental illness. Further longitudinal studies are needed examining the potential risk for the development of mental disorders in specific subtypes of the self-employed.