Military personnel may withhold information on mental health problems (MHPs) for fear of not being permitted to deploy. Past or current MHPs may, however, increase the risk of postdeployment MHPs. Using psychiatric diagnoses rather than self‐report assessments in predeployment screening may be a more effective screening strategy for determining deployment fitness. This retrospective follow‐up study investigated (a) the extent to which predeployment childhood and adult psychiatric diagnoses predicted postdeployment MHPs, measured as psychiatric diagnosis and the purchase of psychiatric drugs, and long‐term sickness absence among formerly deployed Danish military personnel and (b) whether perceived combat exposure moderated or mediated the effect of predeployment psychiatric diagnoses. Complete data were available for 7,514 Danish military personnel who answered questions on perceived combat exposure between 6–8 months after returning from their first deployment to the Balkans, Iraq, or Afghanistan. Data on all psychiatric diagnoses given at Danish hospitals, all medicine purchases, and all sickness absences were retrieved from nationwide research registers. Personnel with predeployment psychiatric diagnoses had a statistically significant higher risk for both postdeployment long‐term sickness absence, hazard ratio (HR) = 2.06, 95% CI [1.52, 2.80]; and postdeployment MHPs, HR = 2.38, 95% CI [1.73, 3.27], than personnel without a predeployment psychiatric diagnosis. Personnel with a predeployment psychiatric diagnosis demonstrated a higher risk of reporting high levels of perceived combat exposure. Perceived combat exposure was not found to moderate or mediate the effect of a predeployment psychiatric diagnosis on the two outcomes. Additional findings, limitations, and implications are discussed.